Class TreeCapFloorEngine

Namespace

NanoQL.PricingEngines

Assembly

NanoQL.dll

The tree cap/floor engine: a DiscretizedCapFloor rolled back on a short-rate model's lattice.

public static class TreeCapFloorEngine

Inheritance

object

TreeCapFloorEngine

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

A static class: Calculate runs QuantLib's four steps (playbook §2.1) on the model, an argument where QuantLib's engine holds it, on a lattice built through the asset's mandatory times with the given number of steps, or on a time grid, or on a lattice already built. The asset is initialized at its last payment and rolled back to its first start, or to the reference date where that start is before it (a seasoned cap), where QuantLib's grid refuses the negative time, or to the first caplet's fixing where the asset values that caplet there, before its start (Divergences/CapletFixingExpiryTests.cs). A caplet paid on the reference date counts only when the context includes today's cash flows, as the discretized swap's known coupon does.

The term structure is needed only when the model can't provide one: a model that is an ITermStructureConsistentModel reads its own curve's reference date and day counter.

Methods

Calculate(CapFloor, EvaluationContext, ShortRateModel, Lattice, YieldTermStructure?)

Prices a cap, floor or collar on a lattice already built, which the caller reuses across calculations.

public static InstrumentResults Calculate(CapFloor capFloor, EvaluationContext context, ShortRateModel model, Lattice lattice, YieldTermStructure? termStructure = null)

Parameters

capFloor CapFloor

The cap, floor or collar.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model, whose curve gives the reference date and day counter of the times.

lattice Lattice

The lattice, which must hold the cap's mandatory times.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

InstrumentResults

The instrument's results: the expired results when it has expired.

Exceptions

ArgumentNullException

An argument but the term structure is null.

NanoQLException

The cap's terms are inconsistent, a forward can't be computed, the model has no curve and none is given, or the lattice's grid lacks one of the cap's times.

Calculate(CapFloor, EvaluationContext, ShortRateModel, TimeGrid, YieldTermStructure?)

Prices a cap, floor or collar on the model's lattice on a time grid.

public static InstrumentResults Calculate(CapFloor capFloor, EvaluationContext context, ShortRateModel model, TimeGrid timeGrid, YieldTermStructure? termStructure = null)

Parameters

capFloor CapFloor

The cap, floor or collar.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model.

timeGrid TimeGrid

The time grid, which must hold the cap's mandatory times.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

InstrumentResults

The instrument's results: the expired results when it has expired.

Remarks

The lattice is built first, as QuantLib's engine builds it at construction.

Exceptions

ArgumentNullException

An argument but the term structure is null.

NanoQLException

The model can't build its lattice on the grid, the cap's terms are inconsistent, a forward can't be computed, the model has no curve and none is given, or the grid lacks one of the cap's times.

Calculate(CapFloor, EvaluationContext, ShortRateModel, int, YieldTermStructure?)

Prices a cap, floor or collar on the model's lattice with a number of time steps through its mandatory times.

public static InstrumentResults Calculate(CapFloor capFloor, EvaluationContext context, ShortRateModel model, int timeSteps, YieldTermStructure? termStructure = null)

Parameters

capFloor CapFloor

The cap, floor or collar.

context EvaluationContext

The evaluation context.

model ShortRateModel

The short-rate model.

timeSteps int

The number of time steps, positive.

termStructure YieldTermStructure

The curve that gives the reference date and day counter of the times, for a model that has no curve of its own; null, QuantLib's empty handle, by default.

Returns

InstrumentResults

The instrument's results: the expired results when it has expired.

Exceptions

ArgumentNullException

The cap, the context or the model is null.

ArgumentException

timeSteps isn't positive.

NanoQLException

The cap's terms are inconsistent, a cash flow isn't a floating-rate coupon, a forward can't be computed, the model has no curve and none is given, or the model can't build its lattice.