DurationAdjustedCmsCoupon Class Reference

#include <qle/cashflows/durationadjustedcmscoupon.hpp>

Inheritance diagram for DurationAdjustedCmsCoupon:

Collaboration diagram for DurationAdjustedCmsCoupon:

Public Member Functions
	DurationAdjustedCmsCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const QuantLib::ext::shared_ptr< SwapIndex > &index, Size duration=0, 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())
const QuantLib::ext::shared_ptr< SwapIndex > &	swapIndex () const
Size	duration () const
Real	durationAdjustment () const
Rate	indexFixing () const override
void	accept (AcyclicVisitor &) override

Private Attributes
QuantLib::ext::shared_ptr< SwapIndex >	swapIndex_
Size	duration_

Detailed Description

Definition at line 34 of file durationadjustedcmscoupon.hpp.

Constructor & Destructor Documentation

DurationAdjustedCmsCoupon()

DurationAdjustedCmsCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const QuantLib::ext::shared_ptr< SwapIndex > &	index,
		Size	duration = 0,
		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 27 of file durationadjustedcmscoupon.cpp.

    : FloatingRateCoupon(paymentDate, nominal, startDate, endDate, fixingDays, swapIndex, gearing, spread,
                         refPeriodStart, refPeriodEnd, dayCounter, isInArrears, exCouponDate),
      swapIndex_(swapIndex), duration_(duration) {}

Member Function Documentation

swapIndex()

const QuantLib::ext::shared_ptr< SwapIndex > & swapIndex

(

)

const

Definition at line 44 of file durationadjustedcmscoupon.hpp.

{ return swapIndex_; }

Here is the caller graph for this function:

duration()

Size duration

(

)

const

Definition at line 37 of file durationadjustedcmscoupon.cpp.

{ return duration_; }

Here is the caller graph for this function:

durationAdjustment()

Real durationAdjustment

(

)

const

Definition at line 38 of file durationadjustedcmscoupon.cpp.

                                                         {
    if (duration_ == 0) {
        return 1.0;
    } else {
        Real swapRate = swapIndex_->fixing(fixingDate());
        Real tmp = 0.0;
        for (Size i = 0; i < duration_; ++i) {
            tmp += 1.0 / std::pow(1.0 + swapRate, static_cast<Real>(i + 1));
        }
        return tmp;
    }
}

Here is the caller graph for this function:

indexFixing()

Rate indexFixing ( ) const

override

Definition at line 51 of file durationadjustedcmscoupon.cpp.

{ return FloatingRateCoupon::indexFixing() * durationAdjustment(); }

Here is the call graph for this function:

Here is the caller graph for this function:

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 53 of file durationadjustedcmscoupon.cpp.

                                                        {
    Visitor<DurationAdjustedCmsCoupon>* v1 = dynamic_cast<Visitor<DurationAdjustedCmsCoupon>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        FloatingRateCoupon::accept(v);
}

Member Data Documentation

swapIndex_

QuantLib::ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 51 of file durationadjustedcmscoupon.hpp.

duration_

Size duration_

private

Definition at line 52 of file durationadjustedcmscoupon.hpp.