QuantLib_Coupon man page

Coupon — coupon accruing over a fixed period


#include <ql/cashflows/coupon.hpp>

Inherits CashFlow.

Inherited by FixedRateCoupon, FloatingRateCoupon, and InflationCoupon.

Public Member Functions

Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

Event interface

Date date () const

CashFlow interface

Date exCouponDate () const
returns the date that the cash flow trades exCoupon


Real nominal () const

const Date & accrualStartDate () const
start of the accrual period
const Date & accrualEndDate () const
end of the accrual period
const Date & referencePeriodStart () const
start date of the reference period
const Date & referencePeriodEnd () const
end date of the reference period
Time accrualPeriod () const
accrual period as fraction of year
BigInteger accrualDays () const
accrual period in days
virtual Rate rate () const =0
accrued rate
virtual DayCounter dayCounter () const =0
day counter for accrual calculation
Time accruedPeriod (const Date &) const
accrued period as fraction of year at the given date
BigInteger accruedDays (const Date &) const
accrued days at the given date
virtual Real accruedAmount (const Date &) const =0
accrued amount at the given date


virtual void accept (AcyclicVisitor &)

Protected Attributes

Date paymentDate_

Real nominal_

Date accrualStartDate_

Date accrualEndDate_

Date refPeriodStart_

Date refPeriodEnd_

Date exCouponDate_

Real accrualPeriod_

Detailed Description

coupon accruing over a fixed period

This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for accrual period calculations.

Examples: BermudanSwaption.cpp.

Constructor & Destructor Documentation

Coupon (const Date & paymentDate, Real nominal, const Date & accrualStartDate, const Date & accrualEndDate, const Date & refPeriodStart = Date(), const Date & refPeriodEnd = Date(), const Date & exCouponDate = Date())


the coupon does not adjust the payment date which must already be a business day.

Member Function Documentation

Date date () const [virtual]


This is inherited from the event class

Implements CashFlow.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

accrualEndDate_(3), accrualStartDate_(3), Coupon(3), exCouponDate_(3), nominal_(3), paymentDate_(3), refPeriodEnd_(3) and refPeriodStart_(3) are aliases of QuantLib_Coupon(3).

QuantLib Version 1.8.1 Fri Sep 23 2016