C# Class QLNet.CappedFlooredCoupon

Inheritance: QLNet.FloatingRateCoupon
Datei anzeigen Open project: ammachado/QLNet Class Usage Examples

Protected Properties

Property Type Description
cap_ double?
floor_ double?
isCapped_ bool
isFloored_ bool
underlying_ QLNet.FloatingRateCoupon

Public Methods

Method Description
CappedFlooredCoupon ( ) : System
CappedFlooredCoupon ( QLNet.FloatingRateCoupon underlying, double cap = null, double floor = null ) : System
cap ( ) : double
convexityAdjustment ( ) : double
effectiveCap ( ) : double?
effectiveFloor ( ) : double?
factory ( double nominal, Date paymentDate, Date startDate, Date endDate, int fixingDays, InterestRateIndex index, double gearing, double spread, double cap, double floor, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, bool isInArrears ) : CashFlow
floor ( ) : double
isCapped ( ) : bool
isFloored ( ) : bool
rate ( ) : double
setPricer ( FloatingRateCouponPricer pricer ) : void

Method Details

CappedFlooredCoupon() public method

public CappedFlooredCoupon ( ) : System
return System

CappedFlooredCoupon() public method

public CappedFlooredCoupon ( QLNet.FloatingRateCoupon underlying, double cap = null, double floor = null ) : System
underlying QLNet.FloatingRateCoupon
cap double
floor double
return System

cap() public method

public cap ( ) : double
return double

convexityAdjustment() public method

public convexityAdjustment ( ) : double
return double

effectiveCap() public method

public effectiveCap ( ) : double?
return double?

effectiveFloor() public method

public effectiveFloor ( ) : double?
return double?

factory() public method

public factory ( double nominal, Date paymentDate, Date startDate, Date endDate, int fixingDays, InterestRateIndex index, double gearing, double spread, double cap, double floor, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, bool isInArrears ) : CashFlow
nominal double
paymentDate Date
startDate Date
endDate Date
fixingDays int
index InterestRateIndex
gearing double
spread double
cap double
floor double
refPeriodStart Date
refPeriodEnd Date
dayCounter DayCounter
isInArrears bool
return CashFlow

floor() public method

public floor ( ) : double
return double

isCapped() public method

public isCapped ( ) : bool
return bool

isFloored() public method

public isFloored ( ) : bool
return bool

rate() public method

public rate ( ) : double
return double

setPricer() public method

public setPricer ( FloatingRateCouponPricer pricer ) : void
pricer FloatingRateCouponPricer
return void

Property Details

cap_ protected_oe property

protected double? cap_
return double?

floor_ protected_oe property

protected double? floor_
return double?

isCapped_ protected_oe property

protected bool isCapped_
return bool

isFloored_ protected_oe property

protected bool isFloored_
return bool

underlying_ protected_oe property

protected FloatingRateCoupon,QLNet underlying_
return QLNet.FloatingRateCoupon