InArrearIndexedCoupon Class Reference

#include <ql/CashFlows/inarrearindexedcoupon.hpp>

Inheritance diagram for InArrearIndexedCoupon:

Inheritance graph
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List of all members.

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< Xiborxibor_
Handle< CapletVolatilityStructurecapletVolatility_


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