org.jquantlib.instruments

Class CapFloor

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.CapFloor

All Implemented Interfaces:

Observable, Observer

public class CapFloor
extends Instrument

Base class for cap-like instruments

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	CapFloor.Type

Nested classes/interfaces inherited from class org.jquantlib.instruments.Instrument

Instrument.Arguments, Instrument.Results, Instrument.ResultsImpl

Constructor Summary

Constructors

Constructor and Description
CapFloor(CapFloor.Type type, Leg floatingLeg, java.util.List<java.lang.Double> strikes, Handle<YieldTermStructure> termStructure, PricingEngine engine)
CapFloor(CapFloor.Type type, Leg floatingLeg, java.util.List<java.lang.Double> capRates, java.util.List<java.lang.Double> floorRates, Handle<YieldTermStructure> termStructure, PricingEngine engine)

Method Summary

Modifier and Type	Method and Description
double	atmRate()
boolean	isExpired()
Date	lastFixingDate()
Date	maturityDate()
Date	startDate()

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CapFloor

public CapFloor(CapFloor.Type type,
                Leg floatingLeg,
                java.util.List<java.lang.Double> capRates,
                java.util.List<java.lang.Double> floorRates,
                Handle<YieldTermStructure> termStructure,
                PricingEngine engine)

CapFloor

public CapFloor(CapFloor.Type type,
                Leg floatingLeg,
                java.util.List<java.lang.Double> strikes,
                Handle<YieldTermStructure> termStructure,
                PricingEngine engine)

Method Detail

atmRate

public double atmRate()

isExpired

public boolean isExpired()

Specified by:

isExpired in class Instrument

Returns:

true if the instrument is still tradeable.

startDate

public Date startDate()

maturityDate

public Date maturityDate()

lastFixingDate

public Date lastFixingDate()