CMSCoupon Class Reference

#include <ql/CashFlows/cmscoupon.hpp>

Inheritance diagram for CMSCoupon:

Inheritance graph
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List of all members.

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< SwaptionVolatilityStructureswaptionVolatility () const
Visitability
virtual void accept (AcyclicVisitor &)