Class CappedFlooredCmsCoupon

Namespace: NanoQL.Coupons

Assembly: NanoQL.dll

A CMS coupon with a cap, a floor or both on its rate: a CappedFlooredCoupon over a CmsCoupon it builds.

public sealed class CappedFlooredCmsCoupon : CappedFlooredCoupon

Inheritance: object

Event

CashFlow

Coupon

FloatingRateCoupon

CappedFlooredCoupon

CappedFlooredCmsCoupon

Inherited Members: CappedFlooredCoupon.Rate(EvaluationContext)

CappedFlooredCoupon.ConvexityAdjustment(EvaluationContext)

CappedFlooredCoupon.Underlying

CappedFlooredCoupon.IsCapped

CappedFlooredCoupon.IsFloored

CappedFlooredCoupon.Cap

CappedFlooredCoupon.Floor

CappedFlooredCoupon.EffectiveCap

CappedFlooredCoupon.EffectiveFloor

FloatingRateCoupon.FixingDate()

FloatingRateCoupon.Amount(EvaluationContext)

FloatingRateCoupon.Price(YieldTermStructure, EvaluationContext)

FloatingRateCoupon.AccruedAmount(Date, EvaluationContext)

FloatingRateCoupon.IndexFixing(EvaluationContext)

FloatingRateCoupon.AdjustedFixing(EvaluationContext)

FloatingRateCoupon.Index

FloatingRateCoupon.FixingDays

FloatingRateCoupon.Gearing

FloatingRateCoupon.Spread

FloatingRateCoupon.IsInArrears

FloatingRateCoupon.FixingConvention

FloatingRateCoupon.Pricer

FloatingRateCoupon.DayCounter

Coupon.Nominal(EvaluationContext)

Coupon.AccrualPeriod()

Coupon.AccrualDays()

Coupon.AccruedPeriod(Date)

Coupon.AccruedDays(Date)

Coupon.Date

Coupon.ExCouponDate

Coupon.AccrualStartDate

Coupon.AccrualEndDate

Coupon.ReferencePeriodStart

Coupon.ReferencePeriodEnd

Coupon.ContractNominal

CashFlow.HasOccurred(EvaluationContext, Date?, bool?)

CashFlow.TradingExCoupon(EvaluationContext, Date?)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Extension Methods: FloatingRateCouponExtensions.SetPricer<T>(T, FloatingRateCouponPricer?)

Remarks

It is built with no pricer, as QuantLib's is. Its rate needs a CmsCouponPricer, which CouponPricerFunctions sets on it and its CMS coupon, refusing any other pricer as QuantLib's visitor does; the cap's and floor's optionlet rates and the swaplet rate are read from one state of the pricer's.

Constructors

CappedFlooredCmsCoupon(Date, double, Date, Date, int?, SwapIndex, double, double, double?, double?, Date?, Date?, DayCounter?, bool, Date?, BusinessDayConvention)

Initializes a new instance of the CappedFlooredCmsCoupon class.

public CappedFlooredCmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int? fixingDays, SwapIndex index, double gearing = 1, double spread = 0, double? cap = null, double? floor = null, Date? refPeriodStart = null, Date? refPeriodEnd = null, DayCounter? dayCounter = null, bool isInArrears = false, Date? exCouponDate = null, BusinessDayConvention fixingConvention = BusinessDayConvention.Preceding)

Parameters

paymentDate Date: The payment date.
nominal double: The nominal.
startDate Date: The start of the accrual period.
endDate Date: The end of the accrual period.
fixingDays int?: The business days from the fixing date to the accrual start (or end, in arrears); the index's fixing days when null, QuantLib's Null<Natural>().
index SwapIndex: The swap index.
gearing double: The gearing applied to the index fixing.
spread double: The spread added to the geared fixing.
cap double?: The cap on the coupon's rate, or null for none.
floor double?: The floor on the coupon's rate, or null for none.
refPeriodStart Date?: The reference period's start; the accrual start when null.
refPeriodEnd Date?: The reference period's end; the accrual end when null.
dayCounter DayCounter: The accrual day counter; the index's when null.
isInArrears bool: Whether the index fixes at the end of the accrual period.
exCouponDate Date?: The ex-coupon date, if any.
fixingConvention BusinessDayConvention: The convention adjusting the fixing date.

Exceptions

ArgumentException: The gearing is zero, or the cap is less than the floor.
ArgumentOutOfRangeException: fixingDays is negative, or fixingConvention isn't a member of its type.