// ! 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;
}
