QuantLib: RangeAccrualFloatersCoupon Class Reference

#include <rangeaccrual.hpp>

Inheritance diagram for RangeAccrualFloatersCoupon:

Collaboration diagram for RangeAccrualFloatersCoupon:

Public Member Functions
	RangeAccrualFloatersCoupon (const Date &paymentDate, Real nominal, const ext::shared_ptr< IborIndex > &index, const Date &startDate, const Date &endDate, Natural fixingDays, const DayCounter &dayCounter, Real gearing, Rate spread, const Date &refPeriodStart, const Date &refPeriodEnd, ext::shared_ptr< Schedule > observationsSchedule, Real lowerTrigger, Real upperTrigger)

Real	startTime () const

Real	endTime () const

Real	lowerTrigger () const

Real	upperTrigger () const

Size	observationsNo () const

const std::vector< Date > &	observationDates () const

const std::vector< Real > &	observationTimes () const

ext::shared_ptr< Schedule >	observationsSchedule () const

Real	priceWithoutOptionality (const Handle< YieldTermStructure > &discountCurve) 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
Real	startTime_

Real	endTime_

const ext::shared_ptr< Schedule >	observationsSchedule_

std::vector< Date >	observationDates_

std::vector< Real >	observationTimes_

Size	observationsNo_

Real	lowerTrigger_

Real	upperTrigger_

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

Definition at line 40 of file rangeaccrual.hpp.

Constructor & Destructor Documentation

◆ RangeAccrualFloatersCoupon()

RangeAccrualFloatersCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const ext::shared_ptr< IborIndex > &	index,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const DayCounter &	dayCounter,
		Real	gearing,
		Rate	spread,
		const Date &	refPeriodStart,
		const Date &	refPeriodEnd,
		ext::shared_ptr< Schedule >	observationsSchedule,
		Real	lowerTrigger,
		Real	upperTrigger
	)

Definition at line 38 of file rangeaccrual.cpp.

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Member Function Documentation

◆ startTime()

Real startTime ( ) const

Definition at line 58 of file rangeaccrual.hpp.

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◆ endTime()

Real endTime ( ) const

Definition at line 59 of file rangeaccrual.hpp.

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◆ lowerTrigger()

Real lowerTrigger ( ) const

Definition at line 60 of file rangeaccrual.hpp.

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◆ upperTrigger()

Real upperTrigger ( ) const

Definition at line 61 of file rangeaccrual.hpp.

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◆ observationsNo()

Size observationsNo ( ) const

Definition at line 62 of file rangeaccrual.hpp.

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◆ observationDates()

const std::vector< Date > & observationDates ( ) const

Definition at line 63 of file rangeaccrual.hpp.

◆ observationTimes()

const std::vector< Real > & observationTimes ( ) const

Definition at line 66 of file rangeaccrual.hpp.

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◆ observationsSchedule()

ext::shared_ptr< Schedule > observationsSchedule ( ) const

Definition at line 69 of file rangeaccrual.hpp.

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◆ priceWithoutOptionality()

Real priceWithoutOptionality ( const Handle< YieldTermStructure > & discountCurve ) const

Definition at line 100 of file rangeaccrual.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 92 of file rangeaccrual.cpp.

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Member Data Documentation

◆ startTime_

Real startTime_

private

Definition at line 79 of file rangeaccrual.hpp.

◆ endTime_

Real endTime_

private

Definition at line 80 of file rangeaccrual.hpp.

◆ observationsSchedule_

const ext::shared_ptr<Schedule> observationsSchedule_

private

Definition at line 82 of file rangeaccrual.hpp.

◆ observationDates_

std::vector<Date> observationDates_

private

Definition at line 83 of file rangeaccrual.hpp.

◆ observationTimes_

std::vector<Real> observationTimes_

private

Definition at line 84 of file rangeaccrual.hpp.

◆ observationsNo_

Size observationsNo_

private

Definition at line 85 of file rangeaccrual.hpp.

◆ lowerTrigger_

Real lowerTrigger_

private

Definition at line 87 of file rangeaccrual.hpp.

◆ upperTrigger_

Real upperTrigger_

private

Definition at line 88 of file rangeaccrual.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ RangeAccrualFloatersCoupon()

Member Function Documentation

◆ startTime()

◆ endTime()

◆ lowerTrigger()

◆ upperTrigger()

◆ observationsNo()

◆ observationDates()

◆ observationTimes()

◆ observationsSchedule()

◆ priceWithoutOptionality()

◆ accept()

Member Data Documentation

◆ startTime_

◆ endTime_

◆ observationsSchedule_

◆ observationDates_

◆ observationTimes_

◆ observationsNo_

◆ lowerTrigger_

◆ upperTrigger_