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<title>CapFloor Class Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_cap_floor.html">CapFloor</a> </li>
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<div class="title">CapFloor Class Reference<div class="ingroups"><a class="el" href="group__instruments.html">Financial instruments</a></div></div> </div>
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<!-- doxytag: class="QuantLib::CapFloor" --><!-- doxytag: inherits="QuantLib::Instrument" -->
<p>Base class for cap-like instruments.
<a href="class_quant_lib_1_1_cap_floor.html#details">More...</a></p>
<p><code>#include <ql/instruments/capfloor.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CapFloor:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_cap_floor__inherit__graph.png" border="0" usemap="#_cap_floor_inherit__map" alt="Inheritance graph"/></div>
<map name="_cap_floor_inherit__map" id="_cap_floor_inherit__map">
<area shape="rect" id="node5" href="class_quant_lib_1_1_cap.html" title="Concrete cap class." alt="" coords="5,166,51,197"/><area shape="rect" id="node7" href="class_quant_lib_1_1_collar.html" title="Concrete collar class." alt="" coords="75,166,128,197"/><area shape="rect" id="node9" href="class_quant_lib_1_1_floor.html" title="Concrete floor class." alt="" coords="152,166,203,197"/><area shape="rect" id="node2" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="60,6,143,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_cap_floor-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" 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" 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>
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" 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"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6f0891310d58cfd07749fe51ac4f8e2a"></a><!-- doxytag: member="QuantLib::CapFloor::CapFloor" ref="a6f0891310d58cfd07749fe51ac4f8e2a" 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#gaede435af51236692b1107d7639581d39">Rate</a> > &capRates, const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &floorRates)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a03554f9335835c2a9136a361d1901d69"></a><!-- doxytag: member="QuantLib::CapFloor::CapFloor" ref="a03554f9335835c2a9136a361d1901d69" 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#gaede435af51236692b1107d7639581d39">Rate</a> > &strikes)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab22cef59ebd5cc4069092b8faa08aa0c"></a><!-- doxytag: member="QuantLib::CapFloor::atmRate" ref="ab22cef59ebd5cc4069092b8faa08aa0c" args="(const YieldTermStructure &discountCurve) const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">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" align="right" valign="top"><a class="anchor" id="aa297fb33a109811a2c2f0c3b18a132c6"></a><!-- doxytag: member="QuantLib::CapFloor::impliedVolatility" ref="aa297fb33a109811a2c2f0c3b18a132c6" args="(Real price, const Handle< YieldTermStructure > &disc, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const " -->
<a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#aa297fb33a109811a2c2f0c3b18a132c6">impliedVolatility</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">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> > &disc, <a class="el" href="group__types.html#gaaa95ab7fe66935e3f7535413fad2a7d3">Volatility</a> guess, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> accuracy=1.0e-4, Natural 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" align="right" valign="top"><a class="anchor" id="a274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::CapFloor::isExpired" ref="a274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#a274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument might have value greater than zero. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afbd0fa31db28593e9669c3c56711c0a7"></a><!-- doxytag: member="QuantLib::CapFloor::type" ref="afbd0fa31db28593e9669c3c56711c0a7" args="() const " -->
Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7d67016c4c1751cd680e0e5ad6a3c276"></a><!-- doxytag: member="QuantLib::CapFloor::capRates" ref="a7d67016c4c1751cd680e0e5ad6a3c276" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>capRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a45cc04b41d9b6bcd32ed1cdb654a24e1"></a><!-- doxytag: member="QuantLib::CapFloor::floorRates" ref="a45cc04b41d9b6bcd32ed1cdb654a24e1" args="() const " -->
const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > & </td><td class="memItemRight" valign="bottom"><b>floorRates</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab770ccb862fe2799b9f9aeff11c9aeb1"></a><!-- doxytag: member="QuantLib::CapFloor::floatingLeg" ref="ab770ccb862fe2799b9f9aeff11c9aeb1" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>floatingLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3ab172f9ecc49c3e4606945f0704dcdb"></a><!-- doxytag: member="QuantLib::CapFloor::startDate" ref="a3ab172f9ecc49c3e4606945f0704dcdb" 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" align="right" valign="top"><a class="anchor" id="a716a3c2e199a948105b3be48b6c338aa"></a><!-- doxytag: member="QuantLib::CapFloor::maturityDate" ref="a716a3c2e199a948105b3be48b6c338aa" 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" align="right" valign="top"><a class="anchor" id="abead3b30d656cfccd533e2a5d2d171c9"></a><!-- doxytag: member="QuantLib::CapFloor::lastFloatingRateCoupon" ref="abead3b30d656cfccd533e2a5d2d171c9" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <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 class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac6e4a72af12ff0d90d441b87182bd0f4"></a><!-- doxytag: member="QuantLib::CapFloor::optionlet" ref="ac6e4a72af12ff0d90d441b87182bd0f4" args="(const Size n) const " -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_cap_floor.html">CapFloor</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cap_floor.html#ac6e4a72af12ff0d90d441b87182bd0f4">optionlet</a> (const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> n) const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Returns the n-th optionlet as a new <a class="el" href="class_quant_lib_1_1_cap_floor.html" title="Base class for cap-like instruments.">CapFloor</a> with only one cash flow. <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Base class for cap-like instruments. </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000019">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>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="aad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::CapFloor::setupArguments" ref="aad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_cap_floor.html#aad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> 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 engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#aad6958108bfaef12bc4ccd6b3d7a7231">Instrument</a>.</p>
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