Class YoYInflationCap

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

A year-on-year inflation cap: a strip of caplets on a year-on-year leg.

public sealed class YoYInflationCap : YoYInflationCapFloor

Inheritance

object

Instrument

YoYInflationCapFloor

YoYInflationCap

Inherited Members

YoYInflationCapFloor.IsExpired(EvaluationContext)

YoYInflationCapFloor.StartDate()

YoYInflationCapFloor.MaturityDate()

YoYInflationCapFloor.LastYoYInflationCoupon()

YoYInflationCapFloor.Optionlet(int)

YoYInflationCapFloor.AtmRate(YieldTermStructure, EvaluationContext)

YoYInflationCapFloor.ImpliedVolatility(double, YoYInflationTermStructure, double, EvaluationContext, double, int, double, double)

YoYInflationCapFloor.Type

YoYInflationCapFloor.CapRates

YoYInflationCapFloor.FloorRates

YoYInflationCapFloor.YoYLeg

Instrument.SetupExpired()

Instrument.Validate()

Instrument.FetchResults(InstrumentResults)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

YoYInflationCap(ImmutableArray<CashFlow>, IEnumerable<double>)

Initializes a new instance of the YoYInflationCap class.

public YoYInflationCap(ImmutableArray<CashFlow> yoyLeg, IEnumerable<double> exerciseRates)

Parameters

yoyLeg ImmutableArray<CashFlow>

The year-on-year leg.

exerciseRates IEnumerable<double>

The cap rates, extended to the leg's length with the last one.

Exceptions

ArgumentException

The leg is default or holds a null cash flow, or there are no rates ("no cap rates given").

ArgumentNullException

exerciseRates is null.