CmsSpreadCoupon Class Reference

CMS spread coupon class. More...

#include <cmsspreadcoupon.hpp>

Inheritance diagram for CmsSpreadCoupon:

Collaboration diagram for CmsSpreadCoupon:

Public Member Functions
	CmsSpreadCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< SwapSpreadIndex > &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< SwapSpreadIndex > &	swapSpreadIndex () const
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 More...
Rate	rate () const override
	accrued rate More...
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation More...
Real	accruedAmount (const Date &) const override
	accrued amount at the given date More...
const ext::shared_ptr< InterestRateIndex > &	index () const
	floating index More...
Natural	fixingDays () const
	fixing days More...
virtual Date	fixingDate () const
	fixing date More...
Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index More...
Spread	spread () const
	spread paid over the fixing of the underlying index More...
virtual Rate	indexFixing () const
	fixing of the underlying index More...
virtual Rate	convexityAdjustment () const
	convexity adjustment More...
virtual Rate	adjustedFixing () const
	convexity-adjusted fixing More...
bool	isInArrears () const
	whether or not the coupon fixes in arrears More...
virtual void	setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &)
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 More...
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period More...
const Date &	accrualEndDate () const
	end of the accrual period More...
const Date &	referencePeriodStart () const
	start date of the reference period More...
const Date &	referencePeriodEnd () const
	end date of the reference period More...
Time	accrualPeriod () const
	accrual period as fraction of year More...
Date::serial_type	accrualDays () const
	accrual period in days More...
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date More...
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date More...
Public Member Functions inherited from CashFlow
	~CashFlow () override=default
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 More...
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate More...
Public Member Functions inherited from Event
	~Event () override=default
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

Visitability
ext::shared_ptr< SwapSpreadIndex >	index_
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from FloatingRateCoupon
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing More...
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from FloatingRateCoupon
ext::shared_ptr< InterestRateIndex >	index_
DayCounter	dayCounter_
Natural	fixingDays_
Real	gearing_
Spread	spread_
bool	isInArrears_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
Real	rate_
Protected Attributes inherited from Coupon
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

CMS spread coupon class.

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.

Definition at line 41 of file cmsspreadcoupon.hpp.

Constructor & Destructor Documentation

CmsSpreadCoupon()

CmsSpreadCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< SwapSpreadIndex > &	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()
	)

Definition at line 26 of file cmsspreadcoupon.cpp.

Member Function Documentation

swapSpreadIndex()

const ext::shared_ptr< SwapSpreadIndex > & swapSpreadIndex

(

)

const

Definition at line 58 of file cmsspreadcoupon.hpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 39 of file cmsspreadcoupon.cpp.

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Member Data Documentation

index_

ext::shared_ptr<SwapSpreadIndex> index_

private

Definition at line 67 of file cmsspreadcoupon.hpp.