QuantLib_FloatingRateCoupon man page

FloatingRateCoupon — base floating-rate coupon class

Synopsis

#include <ql/cashflows/floatingratecoupon.hpp>

Inherits Coupon, and Observer.

Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, CmsSpreadCoupon, DigitalCoupon, IborCoupon, OvernightIndexedCoupon, RangeAccrualFloatersCoupon, StrippedCappedFlooredCoupon, and SubPeriodsCoupon.

Public Member Functions

FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false)

void setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &)

boost::shared_ptr< FloatingRateCouponPricer > pricer () const

CashFlow interface

Real amount () const
returns the amount of the cash flow

Coupon interface

Rate rate () const
accrued rate
Real price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter dayCounter () const
day counter for accrual calculation
Real accruedAmount (const Date &) const
accrued amount at the given date

Inspectors

const boost::shared_ptr< InterestRateIndex > & index () const
floating index
Natural fixingDays () const
fixing days
virtual Date fixingDate () const
fixing date
Real gearing () const
index gearing, i.e. multiplicative coefficient for the index
Spread spread () const
spread paid over the fixing of the underlying index
virtual Rate indexFixing () const
fixing of the underlying index
virtual Rate convexityAdjustment () const
convexity adjustment
virtual Rate adjustedFixing () const
convexity-adjusted fixing
bool isInArrears () const
whether or not the coupon fixes in arrears

Observer interface

void update ()

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Rate convexityAdjustmentImpl (Rate fixing) const
convexity adjustment for the given index fixing

Protected Attributes

boost::shared_ptr< InterestRateIndex > index_

DayCounter dayCounter_

Natural fixingDays_

Real gearing_

Spread spread_

bool isInArrears_

boost::shared_ptr< FloatingRateCouponPricer > pricer_

Additional Inherited Members

Detailed Description

base floating-rate coupon class

Member Function Documentation

Real amount () const [virtual]

returns the amount of the cash flow

Note:

The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

convexityAdjustmentImpl(3), fixingDays_(3), FloatingRateCoupon(3), gearing(3), isInArrears(3), isInArrears_(3), pricer(3) and pricer_(3) are aliases of QuantLib_FloatingRateCoupon(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib