webcab.lib.finance.pricing.contracts.standard
Class CouponBondOption

java.lang.Object
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  +--webcab.lib.finance.pricing.contracts.GeneralContractCommon
        |
        +--webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContractCommon
              |
              +--webcab.lib.finance.pricing.contracts.FixedExchangeMarkovContractCommon
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                    +--webcab.lib.finance.pricing.core.contracts.RegularPayoffContractCommon
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                          +--webcab.lib.finance.pricing.contracts.standard.VanillaOption
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                                +--webcab.lib.finance.pricing.contracts.standard.CouponBondOption

All Implemented Interfaces:

FixedExchangeMarkovContract, FixedExchangeMomentsContract, GeneralContract, RegularPayoffContract, Serializable

public class CouponBondOption

extends VanillaOption

implements RegularPayoffContract

Implements an option on a coupon paying (aka coupon-bearing) bond.

See Also:

Serialized Form

Field Summary

Fields inherited from class webcab.lib.finance.pricing.contracts.standard.VanillaOption

CALL, PUT

Fields inherited from class webcab.lib.finance.pricing.contracts.GeneralContractCommon

BUYER_INITIATED, NO_EARLY_EXERCISE, SELLER_INITIATED

Constructor Summary

CouponBondOption(int type, double maturity, double strike, double amount, boolean isAmerican, Pricer underlyingPricer, double principal, double firstCouponDate, double couponInterest, double couponPeriod, double expiry)
This method implements an option on a coupon paying (aka coupon-bearing) bond.

Methods inherited from class webcab.lib.finance.pricing.contracts.standard.VanillaOption

getEarlyExercise, getExpiry, getMoments, getNMoments, getPayoff, needsUpdatedModel

Methods inherited from class webcab.lib.finance.pricing.core.contracts.RegularPayoffContractCommon

getMaxDependencyOrder

Methods inherited from class webcab.lib.finance.pricing.contracts.FixedExchangeMarkovContractCommon

getPayoff

Methods inherited from class webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContractCommon

getAccumulatedCashflow, getFirstMoment

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface webcab.lib.finance.pricing.core.contracts.RegularPayoffContract

getMaxDependencyOrder

Methods inherited from interface webcab.lib.finance.pricing.contracts.FixedExchangeMarkovContract

getPayoff

Methods inherited from interface webcab.lib.finance.pricing.contracts.FixedExchangeMomentsContract

getFirstMoment, getMoments, getNMoments, getPayoff

Methods inherited from interface webcab.lib.finance.pricing.contracts.GeneralContract

getAccumulatedCashflow, getExpiry, needsUpdatedModel

Constructor Detail

CouponBondOption

public CouponBondOption(int type,
                        double maturity,
                        double strike,
                        double amount,
                        boolean isAmerican,
                        Pricer underlyingPricer,
                        double principal,
                        double firstCouponDate,
                        double couponInterest,
                        double couponPeriod,
                        double expiry)
                 throws InvalidParametersException

This method implements an option on a coupon paying (aka coupon-bearing) bond.

Parameters:

type - either CALL or PUT, indicatng whether the option is a call or a put option

maturity - the maturity of the option. Please note that the maturity of the option should be after the maturity of the bond

strike - the strike price of the option

amount - the number of zero coupon bonds bouhgt (if type == CALL) or sold (if type == PUT)

isAmerican - specifies if the buyer can exercise the option earlier (American style option).

underlyingPricer - the pricer that will be used to evaluate the bond

principal - the amount paid at expiry by the bond

firstCouponDate - the time when the first coupon is paid

couponInterest - the fraction of the principal paid at each coupon date

couponPeriod - the interval between two coupon payments

expiry - the moment when the principal is paid (maturity of the bond)

Throws:

InvalidParametersException