Coupon Class Reference

coupon accruing over a fixed period More...

#include <ql/cashflows/coupon.hpp>

Inheritance diagram for Coupon:

Public Member Functions
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Event interface
Date	date () const override
CashFlow interface
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
Inspectors
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period
const Date &	accrualEndDate () const
	end of the accrual period
const Date &	referencePeriodStart () const
	start date of the reference period
const Date &	referencePeriodEnd () const
	end date of the reference period
Time	accrualPeriod () const
	accrual period as fraction of year
Date::serial_type	accrualDays () const
	accrual period in days
virtual Rate	rate () const =0
	accrued rate
virtual DayCounter	dayCounter () const =0
	day counter for accrual calculation
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
virtual Real	accruedAmount (const Date &) const =0
	accrued amount at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
void	performCalculations () const override
virtual Real	amount () const =0
	returns the amount of the cash flow
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Visitability
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
virtual void	calculate () const
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

coupon accruing over a fixed period

This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for accrual period calculations.

Constructor & Destructor Documentation

Coupon()

Coupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	accrualStartDate,
		const Date &	accrualEndDate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date() )

Warning

the coupon does not adjust the payment date which must already be a business day.

Member Function Documentation

date()

Date date ( ) const

overridevirtual

Note

This is inherited from the event class

Implements CashFlow.

exCouponDate()

Date exCouponDate ( ) const

overridevirtual

returns the date that the cash flow trades exCoupon

Reimplemented from CashFlow.

rate()

virtual Rate rate ( ) const

pure virtual

accrued rate

Implemented in CappedFlooredCoupon, CappedFlooredYoYInflationCoupon, DigitalCoupon, FixedRateCoupon, FloatingRateCoupon, and InflationCoupon.

dayCounter()

virtual DayCounter dayCounter ( ) const

pure virtual

day counter for accrual calculation

Implemented in FixedRateCoupon, FloatingRateCoupon, and InflationCoupon.

accruedAmount()

virtual Real accruedAmount ( const Date & ) const

pure virtual

accrued amount at the given date

Implemented in CPICoupon, FixedRateCoupon, FloatingRateCoupon, InflationCoupon, and OvernightIndexedCoupon.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from CashFlow.