Class MakeCapFloor

helper class

This class provides a more comfortable way to instantiate standard market cap and floor.

Hierarchy

MakeCapFloor

Implements

NullaryFunction<CapFloor>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MakeCapFloor(capFloorType: Type, tenor: Period, iborIndex: IborIndex, strike?: Rate, forwardStart?: Period): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:34
Parameters
- capFloorType: Type
- tenor: Period
- iborIndex: IborIndex
- Default value strike: Rate = QL_NULL_REAL
- Default value forwardStart: Period = new Period()
Returns MakeCapFloor

Properties

Private _asOptionlet

_asOptionlet: boolean

Private _capFloorType

_capFloorType: Type

Private _engine

_engine: PricingEngine

Private _firstCapletExcluded

_firstCapletExcluded: boolean

Private _makeVanillaSwap

_makeVanillaSwap: MakeVanillaSwap

Private _strike

_strike: Rate

Methods

asOptionlet

asOptionlet(b?: boolean): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:108
Parameters
- Default value b: boolean = true
Returns MakeCapFloor

f

f(): CapFloor

Implementation of NullaryFunction.f
- Defined in ql/instruments/makecapfloor.ts:118
Returns CapFloor

withCalendar

withCalendar(cal: Calendar): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:68
Parameters
- cal: Calendar
Returns MakeCapFloor

withConvention

withConvention(bdc: BusinessDayConvention): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:73
Parameters
- bdc: BusinessDayConvention
Returns MakeCapFloor

withDayCount

withDayCount(dc: DayCounter): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:103
Parameters
- dc: DayCounter
Returns MakeCapFloor

withEffectiveDate

withEffectiveDate(effectiveDate: Date, firstCapletExcluded: boolean): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:56
Parameters
- effectiveDate: Date
- firstCapletExcluded: boolean
Returns MakeCapFloor

withEndOfMonth

withEndOfMonth(flag?: boolean): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:88
Parameters
- Default value flag: boolean = true
Returns MakeCapFloor

withFirstDate

withFirstDate(d: Date): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:93
Parameters
- d: Date
Returns MakeCapFloor

withNextToLastDate

withNextToLastDate(d: Date): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:98
Parameters
- d: Date
Returns MakeCapFloor

withNominal

withNominal(n: Real): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:51
Parameters
- n: Real
Returns MakeCapFloor

withPricingEngine

withPricingEngine(engine: PricingEngine): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:113
Parameters
- engine: PricingEngine
Returns MakeCapFloor

withRule

withRule(r: Rule): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:83
Parameters
- r: Rule
Returns MakeCapFloor

withTenor

withTenor(t: Period): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:63
Parameters
- t: Period
Returns MakeCapFloor

withTerminationDateConvention

withTerminationDateConvention(bdc: BusinessDayConvention): MakeCapFloor

- Defined in ql/instruments/makecapfloor.ts:78
Parameters
- bdc: BusinessDayConvention
Returns MakeCapFloor