Table of Contents

Class StrippedCappedFlooredCoupon

Namespace
NanoQL.Experimental
Assembly
NanoQL.dll

The option embedded in a capped or floored coupon, stripped from it: QuantLib's StrippedCappedFlooredCoupon.

[Experimental("NQL0001")]
public sealed class StrippedCappedFlooredCoupon : FloatingRateCoupon
Inheritance
StrippedCappedFlooredCoupon
Inherited Members
Extension Methods

Remarks

The rate is the embedded option's: a long floorlet, a long caplet, or for a collar the floorlet less the caplet, at the underlying's effective strikes, priced by the underlying's own pricer; QuantLib caches it, and here it is computed per call. A pricer set on the stripped coupon is set on its underlying too, as QuantLib's. The coupon's terms are the underlying's, its ex-coupon date and fixing convention QuantLib's constructor's defaults.

Constructors

StrippedCappedFlooredCoupon(CappedFlooredCoupon)

Initializes a new instance of the StrippedCappedFlooredCoupon class.

public StrippedCappedFlooredCoupon(CappedFlooredCoupon underlying)

Parameters

underlying CappedFlooredCoupon

The capped or floored coupon.

Exceptions

ArgumentNullException

underlying is null.

Properties

Cap

Gets the underlying's cap.

public double? Cap { get; }

Property Value

double?

EffectiveCap

Gets the underlying's effective cap.

public double? EffectiveCap { get; }

Property Value

double?

EffectiveFloor

Gets the underlying's effective floor.

public double? EffectiveFloor { get; }

Property Value

double?

Floor

Gets the underlying's floor.

public double? Floor { get; }

Property Value

double?

IsCap

Gets a value indicating whether the underlying is capped.

public bool IsCap { get; }

Property Value

bool

IsCollar

Gets a value indicating whether the underlying is both capped and floored.

public bool IsCollar { get; }

Property Value

bool

IsFloor

Gets a value indicating whether the underlying is floored.

public bool IsFloor { get; }

Property Value

bool

Underlying

Gets the capped or floored coupon.

public CappedFlooredCoupon Underlying { get; }

Property Value

CappedFlooredCoupon

Methods

ConvexityAdjustment(EvaluationContext)

The convexity adjustment: the adjusted fixing less the index fixing.

public override double ConvexityAdjustment(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The adjustment.

Remarks

The underlying's.

Rate(EvaluationContext)

The coupon's rate: its pricer's swaplet rate.

public override double Rate(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The rate.

Remarks

The embedded option's rate, by the underlying's own pricer.

Exceptions

NanoQLException

No pricer is set.

NanoQLException

The underlying's own underlying has no pricer.

WithPricer(FloatingRateCouponPricer?)

A copy holding another pricer, with a copy of the underlying holding it too.

protected override FloatingRateCoupon WithPricer(FloatingRateCouponPricer? pricer)

Parameters

pricer FloatingRateCouponPricer

The pricer, or null for none.

Returns

FloatingRateCoupon

The copy.