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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_cap_floor.html">CapFloor</a></div>
<h1>CapFloor Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::CapFloor" --><!-- doxytag: inherits="QuantLib::Instrument" --><code>#include <ql/instruments/capfloor.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for CapFloor:</div>
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<p><center><img src="class_quant_lib_1_1_cap_floor__inherit__graph.png" border="0" usemap="#_cap_floor__inherit__map" alt="Inheritance graph"></center>
<map name="_cap_floor__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_cap.html" title="Concrete cap class." alt="" coords="5,161,53,188"><area shape="rect" href="class_quant_lib_1_1_collar.html" title="Concrete collar class." alt="" coords="77,161,136,188"><area shape="rect" href="class_quant_lib_1_1_floor.html" title="Concrete floor class." alt="" coords="160,161,213,188"><area shape="rect" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="60,7,153,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_cap_floor-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Base class for cap-like instruments.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000010">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value is tested by checking that the price of a cap (resp. floor) decreases (resp. increases) with the strike rate.</li><li>the relationship between the values of caps, floors and the resulting collars is checked.</li><li>the put-call parity between the values of caps, floors and swaps is checked.</li><li>the correctness of the returned implied volatility is tested by using it for reproducing the target value.</li><li>the correctness of the returned value is tested by checking it against a known good value. </li></ul>
</dd></dl>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">enum </td><td class="memItemRight" valign="bottom"><b>Type</b> { <b>Cap</b>,
<b>Floor</b>,
<b>Collar</b>
}</td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6f0891310d58cfd07749fe51ac4f8e2a"></a><!-- doxytag: member="QuantLib::CapFloor::CapFloor" ref="6f0891310d58cfd07749fe51ac4f8e2a" args="(Type type, const Leg &floatingLeg, const std::vector< Rate > &capRates, const std::vector< Rate > &floorRates)" -->
</td><td class="memItemRight" valign="bottom"><b>CapFloor</b> (Type type, const Leg &floatingLeg, const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > &capRates, const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > &floorRates)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="03554f9335835c2a9136a361d1901d69"></a><!-- doxytag: member="QuantLib::CapFloor::CapFloor" ref="03554f9335835c2a9136a361d1901d69" args="(Type type, const Leg &floatingLeg, const std::vector< Rate > &strikes)" -->
</td><td class="memItemRight" valign="bottom"><b>CapFloor</b> (Type type, const Leg &floatingLeg, const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > &strikes)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b22cef59ebd5cc4069092b8faa08aa0c"></a><!-- doxytag: member="QuantLib::CapFloor::atmRate" ref="b22cef59ebd5cc4069092b8faa08aa0c" args="(const YieldTermStructure &discountCurve) const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>atmRate</b> (const <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> &discountCurve) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74ba17e608397824b92c6bd718f31864"></a><!-- doxytag: member="QuantLib::CapFloor::impliedVolatility" ref="74ba17e608397824b92c6bd718f31864" args="(Real price, const Handle< YieldTermStructure > &discountCurve, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const " -->
<a class="el" href="group__types.html#gaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#74ba17e608397824b92c6bd718f31864">impliedVolatility</a> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &discountCurve, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">implied term volatility <br></td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::CapFloor::isExpired" ref="274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fbd0fa31db28593e9669c3c56711c0a7"></a><!-- doxytag: member="QuantLib::CapFloor::type" ref="fbd0fa31db28593e9669c3c56711c0a7" args="() const " -->
Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e8a0ec4e331b9a399599dd4f16f9bef2"></a><!-- doxytag: member="QuantLib::CapFloor::leg" ref="e8a0ec4e331b9a399599dd4f16f9bef2" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>leg</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7d67016c4c1751cd680e0e5ad6a3c276"></a><!-- doxytag: member="QuantLib::CapFloor::capRates" ref="7d67016c4c1751cd680e0e5ad6a3c276" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>capRates</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="45cc04b41d9b6bcd32ed1cdb654a24e1"></a><!-- doxytag: member="QuantLib::CapFloor::floorRates" ref="45cc04b41d9b6bcd32ed1cdb654a24e1" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>floorRates</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b770ccb862fe2799b9f9aeff11c9aeb1"></a><!-- doxytag: member="QuantLib::CapFloor::floatingLeg" ref="b770ccb862fe2799b9f9aeff11c9aeb1" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>floatingLeg</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3ab172f9ecc49c3e4606945f0704dcdb"></a><!-- doxytag: member="QuantLib::CapFloor::startDate" ref="3ab172f9ecc49c3e4606945f0704dcdb" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>startDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="716a3c2e199a948105b3be48b6c338aa"></a><!-- doxytag: member="QuantLib::CapFloor::maturityDate" ref="716a3c2e199a948105b3be48b6c338aa" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bead3b30d656cfccd533e2a5d2d171c9"></a><!-- doxytag: member="QuantLib::CapFloor::lastFloatingRateCoupon" ref="bead3b30d656cfccd533e2a5d2d171c9" args="() const " -->
boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_floating_rate_coupon.html">FloatingRateCoupon</a> > </td><td class="memItemRight" valign="bottom"><b>lastFloatingRateCoupon</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for cap/floor calculation <a href="class_quant_lib_1_1_cap_floor_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor_1_1engine.html">engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">base class for cap/floor engines <a href="class_quant_lib_1_1_cap_floor_1_1engine.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::CapFloor::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing <a class="el" href="class_quant_lib_1_1_cap_floor_1_1engine.html" title="base class for cap/floor engines">engine</a> is used.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#ad6958108bfaef12bc4ccd6b3d7a7231">Instrument</a>.</p>
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