QuantLib_FloatingCatBond man page

FloatingCatBond — floating-rate cat bond (possibly capped and/or floored)  

Synopsis

#include <ql/experimental/catbonds/catbond.hpp>

Inherits CatBond.

Public Member Functions

FloatingCatBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const boost::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, boost::shared_ptr< NotionalRisk > notionalRisk, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date())
FloatingCatBond (Natural settlementDays, Real faceAmount, const Date &startDate, const Date &maturityDate, Frequency couponFrequency, const Calendar &calendar, const boost::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, boost::shared_ptr< NotionalRisk > notionalRisk, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Date &stubDate=Date(), DateGeneration::Rule rule=DateGeneration::Backward, bool endOfMonth=false)

Detailed Description

floating-rate cat bond (possibly capped and/or floored)

Tests

calculations are tested by checking results against cached values.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page FloatingCatBond(3) is an alias of QuantLib_FloatingCatBond(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib