QuantLib_Coupon (3) - Linux Manuals

QuantLib_Coupon: coupon accruing over a fixed period

NAME

QuantLib::Coupon - coupon accruing over a fixed period

SYNOPSIS

#include <ql/cashflows/coupon.hpp>

Inherits QuantLib::CashFlow.

Inherited by FixedRateCoupon, and FloatingRateCoupon.

Public Member Functions

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

Partial CashFlow interface

Date date () const

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
Integer accrualDays () const
accrual period in days
virtual Rate rate () const =0
accrued rate
virtual DayCounter dayCounter () const =0
day counter for accrual calculation
virtual Real accruedAmount (const Date &) const =0
accrued amount at the given date

Visitability

virtual void accept (AcyclicVisitor &)

Protected Attributes

Real nominal_

Date paymentDate_

Date accrualStartDate_

Date accrualEndDate_

Date refPeriodStart_

Date refPeriodEnd_

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 (Real nominal, const Date & paymentDate, const Date & accrualStartDate, const Date & accrualEndDate, const Date & refPeriodStart = Date(), const Date & refPeriodEnd = 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 inheriited from the event class

Implements CashFlow.

Author

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