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

Detailed Description
base floating-rate coupon class
Public Member Functions | |
FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, const Real gearing=1.0, const Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) | |
void | setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &pricer) |
boost::shared_ptr< FloatingRateCouponPricer > | pricer () const |
CashFlow interface | |
Real | amount () const |
returns the amount of the cash flow | |
Coupon interface | |
Rate | rate () const |
accrued rate | |
Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
DayCounter | dayCounter () const |
day counter for accrual calculation | |
Real | accruedAmount (const Date &) const |
accrued amount at the given date | |
Inspectors | |
const boost::shared_ptr< InterestRateIndex > & | index () const |
floating index | |
Natural | fixingDays () const |
fixing days | |
virtual Date | fixingDate () const |
fixing date | |
Real | gearing () const |
index gearing, i.e. multiplicative coefficient for the index | |
Spread | spread () const |
spread paid over the fixing of the underlying index | |
Rate | indexFixing () const |
fixing of the underlying index | |
Rate | convexityAdjustment () const |
convexity adjustment | |
Rate | adjustedFixing () const |
convexity-adjusted fixing | |
bool | isInArrears () const |
Observer interface | |
void | update () |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
Rate | convexityAdjustmentImpl (Rate fixing) const |
convexity adjustment for the given index fixing | |
Protected Attributes | |
boost::shared_ptr< InterestRateIndex > | index_ |
DayCounter | dayCounter_ |
Natural | fixingDays_ |
Real | gearing_ |
Spread | spread_ |
bool | isInArrears_ |
boost::shared_ptr< FloatingRateCouponPricer > | pricer_ |
Member Function Documentation
Real amount | ( | ) | const [virtual] |
returns the amount of the cash flow
- Note:
- The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.
Implements CashFlow.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in CappedFlooredCoupon.