Class Caplet

    • Constructor Detail

      • Caplet

        public Caplet​(double maturity,
                      double periodLength,
                      double strike,
                      double daycountFraction,
                      boolean isFloorlet,
                      Caplet.ValueUnit valueUnit)
        Create a caplet or a floorlet. A caplet pays \( max(L-K,0) * daycountFraction \) at maturity+periodLength where L is fixed at maturity. A floorlet pays \( -min(L-K,0) * daycountFraction \) at maturity+periodLength where L is fixed at maturity.
        Parameters:
        maturity - The fixing date given as double. The payment is at the period end.
        periodLength - The length of the forward rate period.
        strike - The strike given as double.
        daycountFraction - The daycount fraction used in the payout function.
        isFloorlet - If true, this object will represent a floorlet, otherwise a caplet.
        valueUnit - The unit of the value returned by the getValue method.
      • Caplet

        public Caplet​(double maturity,
                      double periodLength,
                      double strike,
                      boolean isFloorlet)
        Create a caplet or a floorlet. A caplet pays \( max(L-K,0) * daycountFraction \) at maturity+periodLength where L is fixed at maturity. A floorlet pays \( -min(L-K,0) * daycountFraction \) at maturity+periodLength where L is fixed at maturity. This simplified constructor uses daycountFraction = periodLength.
        Parameters:
        maturity - The fixing date given as double. The payment is at the period end.
        periodLength - The length of the forward rate period in ACT/365 convention.
        strike - The strike given as double.
        isFloorlet - If true, this object will represent a floorlet, otherwise a caplet.
      • Caplet

        public Caplet​(double maturity,
                      double periodLength,
                      double strike)
        Create a caplet. A caplet pays \( max(L-K,0) * periodLength \) at maturity+periodLength where L is fixed at maturity.
        Parameters:
        maturity - The fixing date given as double. The payment is at the period end.
        periodLength - The length of the forward rate period.
        strike - The strike given as double.
    • Method Detail

      • getValue

        public RandomVariable getValue​(double evaluationTime,
                                       TermStructureMonteCarloSimulationModel model)
                                throws CalculationException
        This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime. Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time. Cashflows prior evaluationTime are not considered.
        Specified by:
        getValue in interface TermStructureMonteCarloProduct
        Specified by:
        getValue in class AbstractLIBORMonteCarloProduct
        Parameters:
        evaluationTime - The time on which this products value should be observed.
        model - The model used to price the product.
        Returns:
        The random variable representing the value of the product discounted to evaluation time
        Throws:
        CalculationException - Thrown if the valuation fails, specific cause may be available via the cause() method.