CappedFlooredOvernightIndexedCoupon Class Reference

capped floored overnight indexed coupon More...

#include <qle/cashflows/overnightindexedcoupon.hpp>

Inheritance diagram for CappedFlooredOvernightIndexedCoupon:

Public Member Functions
	CappedFlooredOvernightIndexedCoupon (const ext::shared_ptr< OvernightIndexedCoupon > &underlying, Real cap=Null< Real >(), Real floor=Null< Real >(), bool nakedOption=false, bool localCapFloor=false)
Observer interface
void	deepUpdate () override
LazyObject interface
void	performCalculations () const override
void	alwaysForwardNotifications () override
Coupon interface
Rate	rate () const override
Rate	convexityAdjustment () const override
FloatingRateCoupon interface
Date	fixingDate () const override
Rate	cap () const
	cap
Rate	floor () const
	floor
Rate	effectiveCap () const
	effective cap of fixing
Rate	effectiveFloor () const
	effective floor of fixing
Real	effectiveCapletVolatility () const
	effective caplet volatility
Real	effectiveFloorletVolatility () const
	effective floorlet volatility

Visitability
ext::shared_ptr< OvernightIndexedCoupon >	underlying_
Rate	cap_
Rate	floor_
bool	nakedOption_
bool	localCapFloor_
Real	effectiveCapletVolatility_
Real	effectiveFloorletVolatility_
virtual void	accept (AcyclicVisitor &) override
bool	isCapped () const
bool	isFloored () const
ext::shared_ptr< OvernightIndexedCoupon >	underlying () const
bool	nakedOption () const
bool	localCapFloor () const

Detailed Description

capped floored overnight indexed coupon

Constructor & Destructor Documentation

CappedFlooredOvernightIndexedCoupon()

CappedFlooredOvernightIndexedCoupon	(	const ext::shared_ptr< OvernightIndexedCoupon > &	underlying,
		Real	cap = Null< Real >(),
		Real	floor = Null< Real >(),
		bool	nakedOption = false,
		bool	localCapFloor = false )

capped / floored compounded, backward-looking on coupon, local means that the daily rates are capped / floored while a global cap / floor is applied to the effective period rate