| Safe Haskell | None |
|---|---|
| Language | Haskell2010 |
QuantLib.Instrument.CapFloor
Contents
Synopsis
- type CapFloor = GenInstrument CCapFloor
- cap :: GenLeg l -> NonEmpty Double -> IO CapFloor
- collar :: GenLeg l -> NonEmpty Double -> NonEmpty Double -> IO CapFloor
- floor :: GenLeg l -> NonEmpty Double -> IO CapFloor
- optionlet :: CapFloor -> Word -> IO CapFloor
- atmRate :: CapFloor -> GenYieldTermStructure y -> IO Double
- impliedVolatility :: CapFloor -> Double -> GenYieldTermStructure y -> Double -> Double -> Word -> Double -> Double -> VolatilityType -> Double -> IO Double
Types
type CapFloor = GenInstrument CCapFloor Source #
An Instrument; see the hierarchy under GenInstrument.
Constructors
constructs a cap: pays the excess of the floating leg's rate over each exercise rate, if positive
constructs a collar: a cap struck at the cap rates combined with a floor struck at the floor rates
constructs a floor: pays the excess of each exercise rate over the floating leg's rate, if positive
Returns the n-th optionlet as a new CapFloor with only one cash flow.
Inspectors
Arguments
| :: CapFloor | |
| -> GenYieldTermStructure y | discountCurve |
| -> IO Double |
returns the fair (at-the-money) rate for the cap/floor's underlying floating leg, discounted on the given curve