FloatingRateCoupon Class Reference

base floating-rate coupon class More...

#include <ql/cashflows/floatingratecoupon.hpp>

Inheritance diagram for FloatingRateCoupon:

List of all members.

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 > &)
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
virtual Rate indexFixing () const
 fixing of the underlying index
virtual Rate convexityAdjustment () const
 convexity adjustment
virtual Rate adjustedFixing () const
 convexity-adjusted fixing
bool isInArrears () const
 whether or not the coupon fixes in arrears
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_


Detailed Description

base floating-rate coupon class

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, and DigitalCoupon.