Class CapFloorConvention

Namespace

NanoQL.Extensions.Conventions

Assembly

NanoQL.Extensions.dll

A cap and floor convention resolved in a set (CapFloor(string)): its record, its base chain merged, and the builder it feeds, on its index built in the set.

public sealed class CapFloorConvention

Inheritance

object

CapFloorConvention

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An option the record leaves out is the builder's: the index's conventions, the set's MakeVanillaSwap. record for the leg's rule and end of month, and its MakeCapFloor record for the first caplet, which the builder sets only through its forward start and effective date, so a record's other value is refused.

Properties

Record

Gets the record with every field its base chain gives, under the convention's name.

public CapFloorConventionRecord Record { get; }

Property Value

CapFloorConventionRecord

Set

Gets the set the convention was resolved in, whose names its record's fields are.

public ConventionSet Set { get; }

Property Value

ConventionSet

Methods

Builder(CapFloorType, Period, YieldTermStructure?)

A cap or floor builder on the record's index built in the set, with every option the record gives set.

public MakeCapFloor Builder(CapFloorType type, Period tenor, YieldTermStructure? forwardingCurve = null)

Parameters

type CapFloorType

A cap or a floor.

tenor Period

The instrument's tenor.

forwardingCurve YieldTermStructure

The index's forwarding curve, or null for none.

Returns

MakeCapFloor

The builder; it takes its other options' defaults from the set when it builds.

Exceptions

ArgumentException

The record gives no index, a name it gives is unknown, or it gives a value the builder can't take.