FloatingAnnuityCoupon Class Reference

floating annuity coupon More...

#include <qle/cashflows/floatingannuitycoupon.hpp>

Inheritance diagram for FloatingAnnuityCoupon:

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Public Member Functions
	FloatingAnnuityCoupon (Real annuity, bool underflow, const QuantLib::ext::shared_ptr< Coupon > &previousCoupon, const Date &paymentDate, const Date &startDate, const Date &endDate, Natural fixingDays, const QuantLib::ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false)
Cashflow interface
Rate	amount () const override
Inspectors
Real	accruedAmount (const Date &d) const override
Rate	nominal () const override
Rate	previousNominal () const
Rate	rate () const override
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
const QuantLib::ext::shared_ptr< InterestRateIndex > &	index () const
DayCounter	dayCounter () const override
Rate	indexFixing () const
Natural	fixingDays () const
Date	fixingDate () const
Real	gearing () const
Spread	spread () const
virtual Rate	convexityAdjustment () const
virtual Rate	adjustedFixing () const
bool	isInArrears () const
Visitor interface
virtual void	accept (AcyclicVisitor &) override

LazyObject interface
Real	annuity_
bool	underflow_
QuantLib::ext::shared_ptr< Coupon >	previousCoupon_
Real	nominal_
int	fixingDays_
QuantLib::ext::shared_ptr< InterestRateIndex >	index_
Real	gearing_
Real	spread_
DayCounter	dayCounter_
bool	isInArrears_
void	performCalculations () const override

Detailed Description

floating annuity coupon

Coupon paying a Libor-type index on a variable nominal such that total flows are constant

Definition at line 38 of file floatingannuitycoupon.hpp.

Constructor & Destructor Documentation

FloatingAnnuityCoupon()

FloatingAnnuityCoupon	(	Real	annuity,
		bool	underflow,
		const QuantLib::ext::shared_ptr< Coupon > &	previousCoupon,
		const Date &	paymentDate,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const QuantLib::ext::shared_ptr< InterestRateIndex > &	index,
		Real	gearing = 1.0,
		Spread	spread = 0.0,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const DayCounter &	dayCounter = DayCounter(),
		bool	isInArrears = false
	)

Definition at line 26 of file floatingannuitycoupon.cpp.

    : Coupon(paymentDate, 0.0, startDate, endDate, refPeriodStart, refPeriodEnd), annuity_(annuity),
      underflow_(underflow), previousCoupon_(previousCoupon), fixingDays_(fixingDays), index_(index), gearing_(gearing),
      spread_(spread), dayCounter_(dayCounter), isInArrears_(isInArrears) {
 
    if (dayCounter_ == DayCounter())
        dayCounter_ = index_->dayCounter();
 
    QL_REQUIRE(previousCoupon, "Non-empty previous coupon required for FloatingAnnuityCoupon");
    registerWith(previousCoupon);
    registerWith(index);
    registerWith(Settings::instance().evaluationDate());
}

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Member Function Documentation

amount()

Real amount ( ) const

override

Definition at line 71 of file floatingannuitycoupon.cpp.

                                         {
    calculate();
    return rate() * accrualPeriod() * this->nominal_;
}

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accruedAmount()

Real accruedAmount ( const Date &  d ) const

override

Definition at line 76 of file floatingannuitycoupon.cpp.

                                                             {
    if (d <= accrualStartDate_ || d > paymentDate_) {
        return 0.0;
    } else {
        return this->nominal_ * rate() *
               dayCounter().yearFraction(accrualStartDate_, std::min(d, accrualEndDate_), refPeriodStart_,
                                         refPeriodEnd_);
    }
}

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nominal()

Rate nominal ( ) const

override

Definition at line 65 of file floatingannuitycoupon.cpp.

                                          {
    calculate(); // lazy
    // performCalculations(); // not lazy
    return this->nominal_;
}

previousNominal()

Rate previousNominal

(

)

const

Definition at line 63 of file floatingannuitycoupon.cpp.

{ return previousCoupon_->nominal(); }

rate()

Rate rate ( ) const

override

Definition at line 86 of file floatingannuitycoupon.cpp.

{ return gearing_ * (indexFixing() + spread_); }

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price()

Real price

(

const Handle< YieldTermStructure > &

discountingCurve

)

const

Definition at line 96 of file floatingannuitycoupon.cpp.

                                                                                          {
    return amount() * discountingCurve->discount(date());
}

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index()

const QuantLib::ext::shared_ptr< InterestRateIndex > & index

(

)

const

Definition at line 87 of file floatingannuitycoupon.hpp.

{ return index_; }

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dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 89 of file floatingannuitycoupon.hpp.

{ return dayCounter_; }

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indexFixing()

Real indexFixing

(

)

const

Definition at line 94 of file floatingannuitycoupon.cpp.

{ return index_->fixing(fixingDate()); }

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fixingDays()

Natural fixingDays

(

)

const

Definition at line 91 of file floatingannuitycoupon.hpp.

{ return fixingDays_; }

fixingDate()

Date fixingDate

(

)

const

Definition at line 88 of file floatingannuitycoupon.cpp.

                                             {
    // if isInArrears_ fix at the end of period
    Date refDate = isInArrears_ ? accrualEndDate_ : accrualStartDate_;
    return index_->fixingCalendar().advance(refDate, -static_cast<Integer>(fixingDays_), Days, Preceding);
}

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gearing()

Real gearing

(

)

const

Definition at line 93 of file floatingannuitycoupon.hpp.

{ return gearing_; }

spread()

Spread spread

(

)

const

Definition at line 95 of file floatingannuitycoupon.hpp.

{ return spread_; }

convexityAdjustment()

virtual Rate convexityAdjustment ( ) const

virtual

Definition at line 61 of file floatingannuitycoupon.hpp.

{ return 0.0; }      // FIXME

adjustedFixing()

virtual Rate adjustedFixing ( ) const

virtual

Definition at line 62 of file floatingannuitycoupon.hpp.

{ return indexFixing(); } // FIXME

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isInArrears()

bool isInArrears

(

)

const

Definition at line 97 of file floatingannuitycoupon.hpp.

{ return isInArrears_; }

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 100 of file floatingannuitycoupon.cpp.

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

performCalculations()

void performCalculations ( ) const

override

Definition at line 45 of file floatingannuitycoupon.cpp.

                                                      {
    // If the previous coupon was a FloatingAnnuityCoupon we need to cast here in order to get its mutable nominal.
    // Using the Coupon interface previousCoupon_->nominal() would return zero.
    QuantLib::ext::shared_ptr<FloatingAnnuityCoupon> c = QuantLib::ext::dynamic_pointer_cast<FloatingAnnuityCoupon>(previousCoupon_);
    if (c)
        this->nominal_ = c->nominal() + c->amount() - annuity_;
    else
        this->nominal_ = previousCoupon_->nominal() + previousCoupon_->amount() - annuity_;
 
    // The following requires a QuantLib change (expected in 1.11), making the Coupon nominal() interface virtual
    // so that it can be overridden by this class.
    // this->nominal_ = previousCoupon_->nominal() + previousCoupon_->amount() - annuity_;
    if (this->nominal_ < 0.0 && underflow_ == false)
        this->nominal_ = 0.0;
    // std::cout << "FloatingAnnuityCoupon called() for startDate " << QuantLib::io::iso_date(accrualStartDate_) << " "
    //       << "Nominal " << this->nominal_ << std::endl;
}

Member Data Documentation

annuity_

Real annuity_

private

Definition at line 73 of file floatingannuitycoupon.hpp.

underflow_

bool underflow_

private

Definition at line 74 of file floatingannuitycoupon.hpp.

previousCoupon_

QuantLib::ext::shared_ptr<Coupon> previousCoupon_

private

Definition at line 75 of file floatingannuitycoupon.hpp.

nominal_

Real nominal_

mutableprivate

Definition at line 76 of file floatingannuitycoupon.hpp.

fixingDays_

int fixingDays_

private

Definition at line 79 of file floatingannuitycoupon.hpp.

index_

QuantLib::ext::shared_ptr<InterestRateIndex> index_

private

Definition at line 80 of file floatingannuitycoupon.hpp.

gearing_

Real gearing_

private

Definition at line 81 of file floatingannuitycoupon.hpp.

spread_

Real spread_

private

Definition at line 82 of file floatingannuitycoupon.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 83 of file floatingannuitycoupon.hpp.

isInArrears_

bool isInArrears_

private

Definition at line 84 of file floatingannuitycoupon.hpp.