InArrearIndexedCoupon Class Reference
#include <ql/CashFlows/inarrearindexedcoupon.hpp>
Inheritance diagram for InArrearIndexedCoupon:

Detailed Description
In-arrear floating-rate coupon.
- 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.
- Tests:
- The class is tested by comparing the value of an in-arrear swap against a known good value.
Public Member Functions | |
InArrearIndexedCoupon (Real nominal, const Date &paymentDate, const boost::shared_ptr< Xibor > &index, const Date &startDate, const Date &endDate, Integer fixingDays, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter()) | |
FloatingRateCoupon interface | |
Date | fixingDate () const |
fixing date | |
Modifiers | |
void | setCapletVolatility (const Handle< CapletVolatilityStructure > &) |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Rate | convexityAdjustment (Rate fixing) const |
convexity adjustment for the given index fixing | |
Protected Attributes | |
boost::shared_ptr< Xibor > | xibor_ |
Handle< CapletVolatilityStructure > | capletVolatility_ |