| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2014 Peter Caspers |
| 5 | |
| 6 | This file is part of QuantLib, a free-software/open-source library |
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 8 | |
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
| 10 | under the terms of the QuantLib license. You should have received a |
| 11 | copy of the license along with this program; if not, please email |
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 13 | <http://quantlib.org/license.shtml>. |
| 14 | |
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 18 | */ |
| 19 | |
| 20 | /*! \file strippedcapflooredcoupon.hpp |
| 21 | \brief strips the embedded option from cap floored coupons |
| 22 | */ |
| 23 | |
| 24 | #ifndef quantlib_stripped_capfloored_coupon_hpp |
| 25 | #define quantlib_stripped_capfloored_coupon_hpp |
| 26 | |
| 27 | #include <ql/cashflows/capflooredcoupon.hpp> |
| 28 | |
| 29 | namespace QuantLib { |
| 30 | |
| 31 | class StrippedCappedFlooredCoupon : public FloatingRateCoupon { |
| 32 | |
| 33 | public: |
| 34 | |
| 35 | explicit StrippedCappedFlooredCoupon(const ext::shared_ptr<CappedFlooredCoupon> &underlying); |
| 36 | |
| 37 | //! \name Obverver interface |
| 38 | //@{ |
| 39 | void deepUpdate() override; |
| 40 | //@} |
| 41 | |
| 42 | //! \name LazyObject interface |
| 43 | //@{ |
| 44 | void performCalculations() const override; |
| 45 | //@} |
| 46 | //! Coupon interface |
| 47 | Rate rate() const override; |
| 48 | Rate convexityAdjustment() const override; |
| 49 | //! cap |
| 50 | Rate cap() const; |
| 51 | //! floor |
| 52 | Rate floor() const; |
| 53 | //! effective cap |
| 54 | Rate effectiveCap() const; |
| 55 | //! effective floor |
| 56 | Rate effectiveFloor() const; |
| 57 | |
| 58 | //! Visitability |
| 59 | void accept(AcyclicVisitor&) override; |
| 60 | |
| 61 | bool isCap() const; |
| 62 | bool isFloor() const; |
| 63 | bool isCollar() const; |
| 64 | |
| 65 | void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>& pricer) override; |
| 66 | |
| 67 | ext::shared_ptr<CappedFlooredCoupon> underlying() { return underlying_; } |
| 68 | |
| 69 | protected: |
| 70 | ext::shared_ptr<CappedFlooredCoupon> underlying_; |
| 71 | |
| 72 | }; |
| 73 | |
| 74 | class StrippedCappedFlooredCouponLeg { |
| 75 | public: |
| 76 | explicit StrippedCappedFlooredCouponLeg(Leg underlyingLeg); |
| 77 | operator Leg() const; |
| 78 | private: |
| 79 | Leg underlyingLeg_; |
| 80 | }; |
| 81 | |
| 82 | } |
| 83 | |
| 84 | |
| 85 | #endif |
| 86 |