Class Collar

A collar: long a cap and short a floor on the same floating leg.

public sealed class Collar : CapFloor

Inherited Members: CapFloor.IsExpired(EvaluationContext)

CapFloor.StartDate()

CapFloor.MaturityDate()

CapFloor.LastFloatingRateCoupon()

CapFloor.Optionlet(int)

CapFloor.AtmRate(YieldTermStructure, EvaluationContext)

CapFloor.ImpliedVolatility(double, YieldTermStructure, double, EvaluationContext, double, int, double, double, VolatilityType, double)

CapFloor.Type

CapFloor.CapRates

CapFloor.FloorRates

CapFloor.FloatingLeg

Instrument.SetupExpired()

Instrument.Validate()

Instrument.FetchResults(InstrumentResults)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

As in QuantLib, cap rates below the floor rates aren't refused.

Initializes a new instance of the Collar class.

public Collar(ImmutableArray<CashFlow> floatingLeg, IEnumerable<double> capRates, IEnumerable<double> floorRates)

floatingLeg ImmutableArray<CashFlow>: The floating leg.
capRates IEnumerable<double>: The cap rates, extended to the leg's length with the last one.
floorRates IEnumerable<double>: The floor rates, extended to the leg's length with the last one.

ArgumentException: The leg is default or holds a null cash flow, or there are no cap rates or no floor rates.
ArgumentNullException: A rate sequence is null.