Class DigitalIborCoupon

Namespace: NanoQL.Coupons

Assembly: NanoQL.dll

A Ibor coupon with a digital call, a digital put or both: QuantLib's DigitalIborCoupon.

public sealed class DigitalIborCoupon : DigitalCoupon

Inheritance: object

Event

CashFlow

Coupon

FloatingRateCoupon

DigitalCoupon

DigitalIborCoupon

Inherited Members: DigitalCoupon.Rate(EvaluationContext)

DigitalCoupon.ConvexityAdjustment(EvaluationContext)

DigitalCoupon.CallOptionRate(EvaluationContext)

DigitalCoupon.PutOptionRate(EvaluationContext)

DigitalCoupon.Underlying

DigitalCoupon.CallStrike

DigitalCoupon.PutStrike

DigitalCoupon.CallDigitalPayoff

DigitalCoupon.PutDigitalPayoff

DigitalCoupon.HasPut

DigitalCoupon.HasCall

DigitalCoupon.HasCollar

DigitalCoupon.IsLongPut

DigitalCoupon.IsLongCall

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

A DigitalCoupon on a IborCoupon, replicated through capped and floored coupons on it, each priced by its IborCouponPricer (the visitor refuses any other pricer). Built by DigitalIborLeg.

Constructors

DigitalIborCoupon(IborCoupon, double?, PositionType, bool, double?, double?, PositionType, bool, double?, DigitalReplication?, bool)

Initializes a new instance of the DigitalIborCoupon class.

public DigitalIborCoupon(IborCoupon underlying, double? callStrike = null, PositionType callPosition = PositionType.Long, bool isCallAtmIncluded = false, double? callDigitalPayoff = null, double? putStrike = null, PositionType putPosition = PositionType.Long, bool isPutAtmIncluded = false, double? putDigitalPayoff = null, DigitalReplication? replication = null, bool nakedOption = false)

Parameters

underlying IborCoupon: The Ibor coupon whose rate the options are on.
callStrike double?: The call's strike, or null for no call.
callPosition PositionType: The call's position.
isCallAtmIncluded bool: Whether a fixed rate at the call's strike pays the call.
callDigitalPayoff double?: The cash-or-nothing call's payoff, or null for an asset-or-nothing call.
putStrike double?: The put's strike, or null for no put.
putPosition PositionType: The put's position.
isPutAtmIncluded bool: Whether a fixed rate at the put's strike pays the put.
putDigitalPayoff double?: The cash-or-nothing put's payoff, or null for an asset-or-nothing put.
replication DigitalReplication: The replication; QuantLib's default, central with a gap of 1e-4, when null.
nakedOption bool: Whether the coupon pays the options alone, without the underlying's rate.

Exceptions

ArgumentNullException: underlying is null.
ArgumentException: The replication's gap isn't positive, or a payoff is given without its strike.
ArgumentOutOfRangeException: A position given with its strike isn't a member of its type.