FloatingRateCoupon Class Reference
#include <ql/CashFlows/floatingratecoupon.hpp>
Inheritance diagram for FloatingRateCoupon:

Detailed Description
Coupon paying a variable index-based rate
- 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.
- Todo:
- add gearing unit test
Public Member Functions | |
| FloatingRateCoupon (const Date &paymentDate, const Real nominal, const Date &startDate, const Date &endDate, const Integer 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()) | |
Coupon interface | |
| virtual Rate | rate () const |
| accrued rate | |
| Real | amount () const |
| returns the amount of the cash flow | |
| Real | accruedAmount (const Date &) const |
| accrued amount at the given date | |
| DayCounter | dayCounter () const |
| day counter for accrual calculation | |
Inspectors | |
| const boost::shared_ptr< InterestRateIndex > & | index () const |
| floating index | |
| Integer | fixingDays () const |
| fixing days | |
| virtual Date | fixingDate () const |
| fixing date | |
| Real | gearing () const |
| index gearing, i.e. multiplicative coefficient for the index | |
| Rate | indexFixing () const |
| fixing of the underlying index | |
| Rate | convexityAdjustment () const |
| convexity adjustment | |
| Rate | adjustedFixing () const |
| convexity-adjusted fixing | |
| Spread | spread () const |
| spread paid over the fixing of the underlying index | |
Observer interface | |
| void | update () |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Rate | convexityAdjustmentImpl (Rate fixing) const |
| convexity adjustment for the given index fixing | |
Protected Attributes | |
| boost::shared_ptr< InterestRateIndex > | index_ |
| DayCounter | dayCounter_ |
| Integer | fixingDays_ |
| Real | gearing_ |
| Spread | spread_ |
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.