libquantlib0-dev 1.9.1-1 / usr / include / ql / cashflows / capflooredinflationcoupon.hpp

This file is indexed.

/usr/include/ql/cashflows/capflooredinflationcoupon.hpp is in libquantlib0-dev 1.9.1-1.

This file is owned by root:root, with mode 0o644.

The actual contents of the file can be viewed below. 

  1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2009 Chris Kenyon

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
 */

/*! \file capflooredinflationcoupon.hpp
 \brief caplet and floorlet pricing for YoY inflation coupons
 */

#ifndef quantlib_capfloored_inflation_coupon_hpp
#define quantlib_capfloored_inflation_coupon_hpp

#include <ql/cashflows/yoyinflationcoupon.hpp>

namespace QuantLib {

    //! Capped or floored inflation coupon.
    /*! Essentially a copy of the nominal version but taking a
        different index and a set of pricers (not just one).

        The payoff \f$ P \f$ of a capped inflation-rate coupon
        with paysWithin = true is:

        \f[ P = N \times T \times \min(a L + b, C). \f]

        where \f$ N \f$ is the notional, \f$ T \f$ is the accrual
        time, \f$ L \f$ is the inflation rate, \f$ a \f$ is its
        gearing, \f$ b \f$ is the spread, and \f$ C \f$ and \f$ F \f$
        the strikes.

        The payoff of a floored inflation-rate coupon is:

        \f[ P = N \times T \times \max(a L + b, F). \f]

        The payoff of a collared inflation-rate coupon is:

        \f[ P = N \times T \times \min(\max(a L + b, F), C). \f]

        If paysWithin = false then the inverse is returned
        (this provides for instrument cap and caplet prices).

        They can be decomposed in the following manner.  Decomposition
        of a capped floating rate coupon when paysWithin = true:
        \f[
        R = \min(a L + b, C) = (a L + b) + \min(C - b - \xi |a| L, 0)
        \f]
        where \f$ \xi = sgn(a) \f$. Then:
        \f[
        R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0)
        \f]
     */
    class CappedFlooredYoYInflationCoupon : public YoYInflationCoupon {
    public:
        // we may watch an underlying coupon ...
        CappedFlooredYoYInflationCoupon(
                const boost::shared_ptr<YoYInflationCoupon>& underlying,
                Rate cap = Null<Rate>(),
                Rate floor = Null<Rate>());

        // ... or not
        CappedFlooredYoYInflationCoupon(const Date& paymentDate,
                                        Real nominal,
                                        const Date& startDate,
                                        const Date& endDate,
                                        Natural fixingDays,
                                        const boost::shared_ptr<YoYInflationIndex>& index,
                                        const Period& observationLag,
                                        const DayCounter& dayCounter,
                                        Real gearing = 1.0,
                                        Spread spread = 0.0,
                                        const Rate cap = Null<Rate>(),
                                        const Rate floor = Null<Rate>(),
                                        const Date& refPeriodStart = Date(),
                                        const Date& refPeriodEnd = Date())
        : YoYInflationCoupon(paymentDate, nominal, startDate, endDate,
                             fixingDays, index, observationLag,  dayCounter,
                             gearing, spread, refPeriodStart, refPeriodEnd),
          isFloored_(false), isCapped_(false) {
            setCommon(cap, floor);
        }

        //! \name augmented Coupon interface
        //@{
        //! swap(let) rate
        Rate rate() const;
        //! cap
        Rate cap() const;
        //! floor
        Rate floor() const;
        //! effective cap of fixing
        Rate effectiveCap() const;
        //! effective floor of fixing
        Rate effectiveFloor() const;
        //@}

        //! \name Observer interface
        //@{
        void update();
        //@}

        //! \name Visitability
        //@{
        virtual void accept(AcyclicVisitor& v);
        //@}

        bool isCapped() const { return isCapped_; }
        bool isFloored() const { return isFloored_; }

        void setPricer(const boost::shared_ptr<YoYInflationCouponPricer>&);

    protected:
        virtual void setCommon(Rate cap, Rate floor);

        // data, we only use underlying_ if it was constructed that way,
        // generally we use the shared_ptr conversion to boolean to test
        boost::shared_ptr<YoYInflationCoupon> underlying_;
        bool isFloored_, isCapped_;
        Rate cap_, floor_;
    };

}

#endif

APT Browse - Built by Thomas Orozco.