//@}
private double callPayoff()
{
// to use only if index has fixed
double payoff = 0.0;
if (hasCallStrike_)
{
double underlyingRate = underlying_.rate();
if ((underlyingRate - callStrike_) > 1.0e-16)
{
payoff = isCallCashOrNothing_ ? callDigitalPayoff_ : underlyingRate;
}
else
{
if (isCallATMIncluded_)
{
if (Math.Abs(callStrike_ - underlyingRate) <= 1.0e-16)
{
payoff = isCallCashOrNothing_ ? callDigitalPayoff_ : underlyingRate;
}
}
}
}
return(payoff);
}
// Coupon interface
public override double rate()
{
Utils.QL_REQUIRE(underlying_.pricer() != null, () => "pricer not set");
double swapletRate = underlying_.rate();
double floorletRate = 0.0;
if (isFloored_)
{
floorletRate = underlying_.pricer().floorletRate(effectiveFloor().Value);
}
double capletRate = 0.0;
if (isCapped_)
{
capletRate = underlying_.pricer().capletRate(effectiveCap().Value);
}
return(swapletRate + floorletRate - capletRate);
}
//! \name Coupon interface
//@{
public override double rate()
{
if (underlying_.pricer() == null)
{
throw new ApplicationException("pricer not set");
}
double swapletRate = underlying_.rate();
double floorletRate = 0.0;
if (isFloored_)
{
floorletRate = underlying_.pricer().floorletRate(effectiveFloor().Value);
}
double capletRate = 0.0;
if (isCapped_)
{
capletRate = underlying_.pricer().capletRate(effectiveCap().Value);
}
return(swapletRate + floorletRate - capletRate);
}