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Caplet Class Reference

#include <Option.h>

Inheritance diagram for Caplet:

LiborDerivative Option List of all members.

Detailed Description

Caplet with strike rate pays off at time , where . It is based on a LiborMarketModel.

Definition at line 286 of file Option.h.

Public Member Functions

int getPeriodsToExpiry ()
 Caplet (int j, Real strike, LiborMarketModel *lmm)
Real nextForwardPayoff ()
Real controlVariateMean ()
const RealArray1D nextControlledForwardPayoff ()
Real forwardPayoff (StandardBrownianNode *node, LmmLattice *theLattice, int s)
Real analyticForwardPrice () const
std::ostream & printSelf (std::ostream &os) const

Static Public Member Functions

Caplet * sample (int n, int lmmType=0, int volType=2, int corrType=1)

Constructor & Destructor Documentation

Caplet::Caplet int    j,
Real    strike,
LiborMarketModel   lmm

Caplet on based on a Libor process with strike rate strike.

j caps Libor on .
strike strike rate.
lmm underlying Libor market model.

Member Function Documentation

int Caplet::getPeriodsToExpiry   [inline, virtual]

Number t of Libor compounding periods to expiry (at T_t).

Reimplemented from LiborDerivative.

Definition at line 297 of file Option.h.

Caplet* Caplet::sample int    n,
int    lmmType = 0,
int    volType = 2,
int    corrType = 1

Sample at the money caplet with i=n/3, ie. one third of the way out to the horizon. Based on a DriftlessLMM.

n dimension (number of Libor accrual intervals).
lmmType type of Libor market model: LiborMarketModel::DL,LFDL,PC,FPC.
volType type of volatility surface, VolSurface::CONST, JR, M.
corrType type of correlations, Correlations::CS, JR.

Real Caplet::nextForwardPayoff   [virtual]

Next random sample of the payoff compounded forward from time to time .

Reimplemented from Option.

Real Caplet::controlVariateMean   [virtual]

Mean of the control variate. This is , see book, 6.9.2.

Reimplemented from Option.

const RealArray1D Caplet::nextControlledForwardPayoff   [virtual]

Vector Z with Z[0] the next forward payoff random sample and Z[1] the corresponding control variate. Return by value since it is so small.

Reimplemented from Option.

Real Caplet::forwardPayoff StandardBrownianNode   node,
LmmLattice   theLattice,
int    s

Payoff at node compounded forward to time . Specialization overrides base class template. Slightly inaccurate (see LiborFunctional#capletForwardPayoff) but we can do no better in a lattice.

s lattice time step at which the node lives.

Reimplemented from LiborDerivative.

Real Caplet::analyticForwardPrice   const [virtual]

Black caplet price. See book 6.6, 6.8.2.

Reimplemented from Option.

std::ostream& Caplet::printSelf std::ostream &    os const [virtual]

Message identifying the derivative.

Reimplemented from LiborDerivative.

The documentation for this class was generated from the following file:
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