C# Class QLNet.DigitalCoupon

Inheritance: QLNet.FloatingRateCoupon

显示文件 Open project: ammachado/QLNet

Protected Properties

Property	Type	Description
callCsi_	double
callDigitalPayoff_	double
callLeftEps_	double
callRightEps_	double
callStrike_	double
hasCallStrike_	bool
hasPutStrike_	bool
isCallATMIncluded_	bool
isCallCashOrNothing_	bool
isPutATMIncluded_	bool
isPutCashOrNothing_	bool
putCsi_	double
putDigitalPayoff_	double
putLeftEps_	double
putRightEps_	double
putStrike_	double
replicationType_	Replication.Type
underlying_	QLNet.FloatingRateCoupon

Public Methods

Method	Description
DigitalCoupon ( ) : System
DigitalCoupon ( QLNet.FloatingRateCoupon underlying, double callStrike = null, Position callPosition = Position.Type.Long, bool isCallATMIncluded = false, double callDigitalPayoff = null, double putStrike = null, Position putPosition = Position.Type.Long, bool isPutATMIncluded = false, double putDigitalPayoff = null, QLNet.DigitalReplication replication = null ) : System
callDigitalPayoff ( ) : double
callOptionRate ( ) : double
callStrike ( ) : double
convexityAdjustment ( ) : double
factory ( QLNet.FloatingRateCoupon underlying, double callStrike, Position callPosition, bool isCallATMIncluded, double callDigitalPayoff, double putStrike, Position putPosition, bool isPutATMIncluded, double putDigitalPayoff, QLNet.DigitalReplication replication ) : CashFlow
hasCall ( ) : bool
hasCollar ( ) : bool
hasPut ( ) : bool
isLongCall ( ) : bool
isLongPut ( ) : bool
putDigitalPayoff ( ) : double
putOptionRate ( ) : double
putStrike ( ) : double
rate ( ) : double
setPricer ( FloatingRateCouponPricer pricer ) : void
underlying ( ) : QLNet.FloatingRateCoupon

Private Methods

Method	Description
callPayoff ( ) : double
putPayoff ( ) : double

Method Details

DigitalCoupon() public method

public DigitalCoupon ( ) : System
return	System

DigitalCoupon() public method

public DigitalCoupon ( QLNet.FloatingRateCoupon underlying, double callStrike = null, Position callPosition = Position.Type.Long, bool isCallATMIncluded = false, double callDigitalPayoff = null, double putStrike = null, Position putPosition = Position.Type.Long, bool isPutATMIncluded = false, double putDigitalPayoff = null, QLNet.DigitalReplication replication = null ) : System
underlying	QLNet.FloatingRateCoupon
callStrike	double
callPosition	Position
isCallATMIncluded	bool
callDigitalPayoff	double
putStrike	double
putPosition	Position
isPutATMIncluded	bool
putDigitalPayoff	double
replication	QLNet.DigitalReplication
return	System

callDigitalPayoff() public method

public callDigitalPayoff ( ) : double
return	double

callOptionRate() public method

public callOptionRate ( ) : double
return	double

callStrike() public method

public callStrike ( ) : double
return	double

convexityAdjustment() public method

public convexityAdjustment ( ) : double
return	double

factory() public method

public factory ( QLNet.FloatingRateCoupon underlying, double callStrike, Position callPosition, bool isCallATMIncluded, double callDigitalPayoff, double putStrike, Position putPosition, bool isPutATMIncluded, double putDigitalPayoff, QLNet.DigitalReplication replication ) : CashFlow
underlying	QLNet.FloatingRateCoupon
callStrike	double
callPosition	Position
isCallATMIncluded	bool
callDigitalPayoff	double
putStrike	double
putPosition	Position
isPutATMIncluded	bool
putDigitalPayoff	double
replication	QLNet.DigitalReplication
return	CashFlow

hasCall() public method

public hasCall ( ) : bool
return	bool

hasCollar() public method

public hasCollar ( ) : bool
return	bool

hasPut() public method

public hasPut ( ) : bool
return	bool

isLongCall() public method

public isLongCall ( ) : bool
return	bool

isLongPut() public method

public isLongPut ( ) : bool
return	bool

putDigitalPayoff() public method

public putDigitalPayoff ( ) : double
return	double

putOptionRate() public method

public putOptionRate ( ) : double
return	double

putStrike() public method

public putStrike ( ) : double
return	double

rate() public method

public rate ( ) : double
return	double

setPricer() public method

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

underlying() public method

public underlying ( ) : QLNet.FloatingRateCoupon
return	QLNet.FloatingRateCoupon

Property Details

callCsi_ protected_oe property

protected double callCsi_
return	double

callDigitalPayoff_ protected_oe property

protected double callDigitalPayoff_
return	double

callLeftEps_ protected_oe property

protected double callLeftEps_
return	double

callRightEps_ protected_oe property

protected double callRightEps_
return	double

callStrike_ protected_oe property

protected double callStrike_
return	double

hasCallStrike_ protected_oe property

protected bool hasCallStrike_
return	bool

hasPutStrike_ protected_oe property

protected bool hasPutStrike_
return	bool

isCallATMIncluded_ protected_oe property

protected bool isCallATMIncluded_
return	bool

isCallCashOrNothing_ protected_oe property

protected bool isCallCashOrNothing_
return	bool

isPutATMIncluded_ protected_oe property

protected bool isPutATMIncluded_
return	bool

isPutCashOrNothing_ protected_oe property

protected bool isPutCashOrNothing_
return	bool

putCsi_ protected_oe property

protected double putCsi_
return	double

putDigitalPayoff_ protected_oe property

protected double putDigitalPayoff_
return	double

putLeftEps_ protected_oe property

protected double putLeftEps_
return	double

putRightEps_ protected_oe property

protected double putRightEps_
return	double

putStrike_ protected_oe property

protected double putStrike_
return	double

replicationType_ protected_oe property

protected Replication.Type replicationType_
return	Replication.Type

underlying_ protected_oe property

protected FloatingRateCoupon,QLNet underlying_
return	QLNet.FloatingRateCoupon