// ! Returns the put option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double putOptionRate() { double putOptionRate = 0.0; if (hasPutStrike_) { // Step function putOptionRate = isPutCashOrNothing_ ? putDigitalPayoff_ : putStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, null, putStrike_ + putRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, null, putStrike_ - putLeftEps_); putOptionRate *= (next.rate() - previous.rate()) / (putLeftEps_ + putRightEps_); if (!isPutCashOrNothing_) { // Put CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, null, putStrike_); double put = -underlying_.rate() + atStrike.rate(); // Sum up putOptionRate -= put; } } return(putOptionRate); }
// ! Returns the call option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double callOptionRate() { double callOptionRate = 0.0; if (hasCallStrike_) { // Step function callOptionRate = isCallCashOrNothing_ ? callDigitalPayoff_ : callStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, callStrike_ + callRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, callStrike_ - callLeftEps_); callOptionRate *= (next.rate() - previous.rate()) / (callLeftEps_ + callRightEps_); if (!isCallCashOrNothing_) { // Call CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, callStrike_); double call = underlying_.rate() - atStrike.rate(); // Sum up callOptionRate += call; } } return(callOptionRate); }
// ! Returns the put option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double putOptionRate() { double putOptionRate = 0.0; if (hasPutStrike_) { // Step function putOptionRate = isPutCashOrNothing_ ? putDigitalPayoff_ : putStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, null, putStrike_ + putRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, null, putStrike_ - putLeftEps_); putOptionRate *= (next.rate() - previous.rate()) / (putLeftEps_ + putRightEps_); if (!isPutCashOrNothing_) { // Put CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, null, putStrike_); double put = -underlying_.rate() + atStrike.rate(); // Sum up putOptionRate -= put; } } return putOptionRate; }
// ! Returns the call option rate // (multiplied by: nominal*accrualperiod*discount is the NPV of the option) // public double callOptionRate() { double callOptionRate = 0.0; if (hasCallStrike_) { // Step function callOptionRate = isCallCashOrNothing_ ? callDigitalPayoff_ : callStrike_; CappedFlooredCoupon next = new CappedFlooredCoupon(underlying_, callStrike_ + callRightEps_); CappedFlooredCoupon previous = new CappedFlooredCoupon(underlying_, callStrike_ - callLeftEps_); callOptionRate *= (next.rate() - previous.rate()) / (callLeftEps_ + callRightEps_); if (!isCallCashOrNothing_) { // Call CappedFlooredCoupon atStrike = new CappedFlooredCoupon(underlying_, callStrike_); double call = underlying_.rate() - atStrike.rate(); // Sum up callOptionRate += call; } } return callOptionRate; }