Pricer_ (3) Linux Manual Page

QuantLib::FloatingRateCoupon – base floating-rate coupon class

Synopsis

void update ()

Inherits QuantLib::Coupon, and QuantLib::Observer. Inherited by AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, DigitalCoupon, IborCoupon, RangeAccrualFloatersCoupon, and SubPeriodsCoupon.

Public Member Functions

void update ()

CashFlow interface

Real amount () const
returns the amount of the cash flow Coupon interface

Rate rate () const
accrued rate
Real price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter dayCounter () const
day counter for accrual calculation
Real accruedAmount (const Date &) const
accrued amount at the given date Inspectors

void update ()

Observer interface

void update ()

Visitability

virtual void accept (AcyclicVisitor &)

Protected Member Functions

Rate convexityAdjustmentImpl (Rate fixing) const
convexity adjustment for the given index fixing

Protected Attributes

boost::shared_ptr< InterestRateIndex > index_

DayCounter dayCounter_

Natural fixingDays_

Real gearing_

Spread spread_

bool isInArrears_

boost::shared_ptr< FloatingRateCouponPricer > pricer_

Detailed Description

base floating-rate coupon class

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.

Reimplemented in CappedFlooredCoupon, and DigitalCoupon.

Author

Generated automatically by Doxygen for QuantLib from the source code.

pricer_ (3) Linux Manual Page