IborCoupon Class Reference
Coupon paying a Libor-type index More...
#include <ql/cashflows/iborcoupon.hpp>
Inheritance diagram for IborCoupon:
Classes | |
| class | Settings |
| Per-session settings for IborCoupon class. More... | |
Public Member Functions | |
| IborCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< IborIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date()) | |
Inspectors | |
| const ext::shared_ptr< IborIndex > & | iborIndex () const |
| bool | hasFixed () const |
FloatingRateCoupon interface | |
| Date | fixingDate () const override |
| fixing date | |
| Rate | indexFixing () const override |
| fixing of the underlying index | |
| void | setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &) override |
Visitability | |
| void | accept (AcyclicVisitor &) override |
| Public Member Functions inherited from FloatingRateCoupon | |
| FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date()) | |
| void | performCalculations () const override |
| Real | amount () const override |
| returns the amount of the cash flow | |
| Rate | rate () const override |
| accrued rate | |
| Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
| DayCounter | dayCounter () const override |
| day counter for accrual calculation | |
| Real | accruedAmount (const Date &) const override |
| accrued amount at the given date | |
| const ext::shared_ptr< InterestRateIndex > & | index () const |
| floating index | |
| Natural | fixingDays () const |
| fixing days | |
| 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 | convexityAdjustment () const |
| convexity adjustment | |
| virtual Rate | adjustedFixing () const |
| convexity-adjusted fixing | |
| bool | isInArrears () const |
| whether or not the coupon fixes in arrears | |
| ext::shared_ptr< FloatingRateCouponPricer > | pricer () const |
| Public Member Functions inherited from 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()) | |
| Date | date () const override |
| Date | exCouponDate () const override |
| returns the date that the cash flow trades exCoupon | |
| 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 | |
| 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 | |
| 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 | |
| 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 () |
Internal calculations | |
You won't probably need these methods unless you're implementing a coupon pricer. | |
| class | IborCouponPricer |
| const Date & | fixingValueDate () const |
| Start of the deposit period underlying the index fixing. | |
| const Date & | fixingMaturityDate () const |
| End of the deposit period underlying the index fixing. | |
| const Date & | fixingEndDate () const |
| End of the deposit period underlying the coupon fixing. | |
| Time | spanningTimeIndexMaturity () const |
| Period underlying the index fixing, as a year fraction. | |
| Time | spanningTime () const |
| Period underlying the coupon fixing, as a year fraction. | |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Rate | convexityAdjustmentImpl (Rate fixing) const |
| convexity adjustment for the given index fixing | |
| virtual void | calculate () const |
| ext::shared_ptr< InterestRateIndex > | index_ |
| DayCounter | dayCounter_ |
| Natural | fixingDays_ |
| Real | gearing_ |
| Spread | spread_ |
| bool | isInArrears_ |
| ext::shared_ptr< FloatingRateCouponPricer > | pricer_ |
| Real | rate_ |
| Date | paymentDate_ |
| Real | nominal_ |
| Date | accrualStartDate_ |
| Date | accrualEndDate_ |
| Date | refPeriodStart_ |
| Date | refPeriodEnd_ |
| Date | exCouponDate_ |
| Real | accrualPeriod_ |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Coupon paying a Libor-type index
Member Function Documentation
◆ fixingDate()
|
overridevirtual |
fixing date
Reimplemented from FloatingRateCoupon.
◆ indexFixing()
|
overridevirtual |
fixing of the underlying index
Reimplemented from FloatingRateCoupon.
◆ setPricer()
|
overridevirtual |
Reimplemented from FloatingRateCoupon.
◆ accept()
|
overridevirtual |
Reimplemented from FloatingRateCoupon.
◆ fixingEndDate()
| const Date & fixingEndDate | ( | ) | const |
End of the deposit period underlying the coupon fixing.
This might be not the same as fixingMaturityDate if par coupons are used.
◆ spanningTime()
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