FloatingRateCoupon Class Reference
#include <ql/CashFlows/floatingratecoupon.hpp>
Inheritance diagram for FloatingRateCoupon:

Detailed Description
Coupon paying a variable rate
- 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 | |
FloatingRateCoupon (Real nominal, const Date &paymentDate, const Date &startDate, const Date &endDate, Integer fixingDays, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) | |
Coupon interface | |
Rate | rate () const |
accrued rate | |
Real | accruedAmount (const Date &) const |
accrued amount at the given date | |
Inspectors | |
Integer | fixingDays () const |
fixing days | |
virtual Spread | spread () const |
spread paid over the fixing of the underlying index | |
virtual Rate | indexFixing () const =0 |
fixing of the underlying index | |
virtual Date | fixingDate () const =0 |
fixing date | |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
virtual Rate | convexityAdjustment (Rate fixing) const |
convexity adjustment for the given index fixing | |
Protected Attributes | |
Integer | fixingDays_ |
Spread | spread_ |