FloatingRateCoupon Class Reference

#include <ql/CashFlows/floatingratecoupon.hpp>

Inheritance diagram for FloatingRateCoupon:

Inheritance graph
[legend]
List of all members.

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 Rate fixing () const =0
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_


Member Function Documentation

virtual Rate fixing  )  const [pure virtual]
 

Deprecated:
use rate() instead

Implemented in IndexedCoupon, and ParCoupon.


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