CMSCoupon Class Reference
#include <ql/CashFlows/cmscoupon.hpp>
Inheritance diagram for CMSCoupon:

Detailed Description
CMS coupon class.
- Warning:
- This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
Public Member Functions | |
CMSCoupon (const Real nominal, const Date &paymentDate, const boost::shared_ptr< SwapIndex > &index, const Date &startDate, const Date &endDate, Integer fixingDays, const DayCounter &dayCounter, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, Real gearing, Rate spread, Rate cap=Null< Rate >(), Rate floor=Null< Rate >(), Real meanReversion=0., const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), bool isInArrears=false) | |
Coupon interface | |
Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
Rate | rate () const |
accrued rate | |
Rate | rate1 () const |
Inspectors | |
const boost::shared_ptr< SwapIndex > & | swapIndex () const |
Rate | cap () const |
Rate | floor () const |
Real | meanReversion () const |
virtual Date | fixingDate () const |
fixing date | |
Modifiers | |
void | setSwaptionVolatility (const Handle< SwaptionVolatilityStructure > &) |
Handle< SwaptionVolatilityStructure > | swaptionVolatility () const |
Visitability | |
virtual void | accept (AcyclicVisitor &) |