QuantLib_Coupon man page

Coupon — coupon accruing over a fixed period  

Synopsis

#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

Inspectors

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
Date::serial_type 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
Date::serial_type accruedDays (const Date &) const
accrued days at the given date
virtual Real accruedAmount (const Date &) const =0
accrued amount at the given date

Visitability

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())

Warning

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

Member Function Documentation

Date date () const [virtual]

Note:

This is inherited from the event class

Implements CashFlow.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Sep 1 2017 Version 1.10.1 QuantLib