public class Cap extends AbstractAnalyticProduct
getATMForward(AnalyticModel, boolean)
.
Note: A fixing in arrears is not handled correctly since a convexity adjustment is currently not applied.Constructor and Description 

Cap(Schedule schedule,
String forwardCurveName,
double strike,
boolean isStrikeMoneyness,
String discountCurveName,
String volatilitySurfaceName)
Create a Caplet with a given schedule, strike on a given forward curve (by name)
with a given discount curve and volatility surface (by name).

Cap(Schedule schedule,
String forwardCurveName,
double strike,
boolean isStrikeMoneyness,
String discountCurveName,
String volatilitySurfaceName,
VolatilitySurface.QuotingConvention quotingConvention)
Create a Caplet with a given schedule, strike on a given forward curve (by name)
with a given discount curve and volatility surface (by name).

Modifier and Type  Method and Description 

double 
getATMForward(AnalyticModel model,
boolean isFirstPeriodIncluded)
Return the ATM forward for this cap.

String 
getDiscountCurveName()
Returns the name of the discount curve referenced by this cap.

String 
getForwardCurveName()
Returns the name of the forward curve references by this cap.

double 
getImpliedVolatility(double evaluationTime,
AnalyticModel model,
VolatilitySurface.QuotingConvention quotingConvention)
Returns the value of this cap in terms of an implied volatility (of a flat caplet surface).

double 
getStrike()
Returns the strike of this caplet.

double 
getValue(double evaluationTime,
AnalyticModel model)
Return the valuation of the product using the given model.

double 
getValueAsPrice(double evaluationTime,
AnalyticModel model)
Returns the value of this product under the given model.

String 
toString() 
getValue, getValue
public Cap(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName, VolatilitySurface.QuotingConvention quotingConvention)
schedule
 A given payment schedule, i.e., a collection of Period
s with fixings, payments and period length.forwardCurveName
 The forward curve to be used for the forward of the index.strike
 The given strike (or moneyness).isStrikeMoneyness
 If true, then the strike argument is interpreted as moneyness, i.e. we calculate an ATM forward from the schedule.discountCurveName
 The discount curve to be used for discounting.volatilitySurfaceName
 The volatility surface to be used.quotingConvention
 The quoting convention of the value returned by the getValue(double, net.finmath.marketdata.model.AnalyticModel)
method.public Cap(Schedule schedule, String forwardCurveName, double strike, boolean isStrikeMoneyness, String discountCurveName, String volatilitySurfaceName)
schedule
 A given payment schedule, i.e., a collection of Period
s with fixings, payments and period length.forwardCurveName
 The forward curve to be used for the forward of the index.strike
 The given strike (or moneyness).isStrikeMoneyness
 If true, then the strike argument is interpreted as moneyness, i.e. we calculate an ATM forward from the schedule.discountCurveName
 The discount curve to be used for discounting.volatilitySurfaceName
 The volatility surface to be used.public double getValue(double evaluationTime, AnalyticModel model)
AnalyticProduct
AnalyticModel
.evaluationTime
 The evaluation time as double. Cash flows prior and including this time are not considered.model
 The model under which the product is valued.public double getValueAsPrice(double evaluationTime, AnalyticModel model)
evaluationTime
 Evaluation time.model
 The model.public double getATMForward(AnalyticModel model, boolean isFirstPeriodIncluded)
model
 The model to retrieve the forward curve from (by name).isFirstPeriodIncluded
 If true, the forward will be determined by considering the periods after removal of the first periods (except, if the Cap consists only of 1 period).public double getImpliedVolatility(double evaluationTime, AnalyticModel model, VolatilitySurface.QuotingConvention quotingConvention)
evaluationTime
 The evaluation time as double. Cash flows prior and including this time are not considered.model
 The model under which the product is valued.quotingConvention
 The quoting convention requested for the return value.public String getForwardCurveName()
public double getStrike()
public String getDiscountCurveName()
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