pricer_ (3) - Linux Manuals
pricer_: base floating-rate coupon class
NAME
QuantLib::FloatingRateCoupon - base floating-rate coupon class
SYNOPSIS
#include <ql/cashflows/floatingratecoupon.hpp>
Inherits QuantLib::Coupon, and QuantLib::Observer.
Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon.
Public Member Functions
FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const 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_
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.
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.
Reimplemented in CappedFlooredCoupon, and DigitalCoupon.
Author
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