Class YoYInflationFloor

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

A year-on-year inflation floor: a strip of floorlets on a year-on-year leg.

public sealed class YoYInflationFloor : YoYInflationCapFloor

Inheritance

object

Instrument

YoYInflationCapFloor

YoYInflationFloor

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

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

Initializes a new instance of the YoYInflationFloor class.

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

Parameters

yoyLeg ImmutableArray<CashFlow>

The year-on-year leg.

exerciseRates IEnumerable<double>

The floor 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 floor rates given").

ArgumentNullException

exerciseRates is null.