IborFraCoupon Class Reference

Coupon paying a Forward rate aggreement payoff with and ibor-type index underlying More...

#include <qle/cashflows/iborfracoupon.hpp>

Inheritance diagram for IborFraCoupon:

Collaboration diagram for IborFraCoupon:

Public Member Functions
	IborFraCoupon (const QuantLib::Date &startDate, const QuantLib::Date &endDate, QuantLib::Real nominal, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const double strikeRate)
QuantLib::Real	amount () const override

Detailed Description

Coupon paying a Forward rate aggreement payoff with and ibor-type index underlying

Definition at line 31 of file iborfracoupon.hpp.

Constructor & Destructor Documentation

IborFraCoupon()

IborFraCoupon	(	const QuantLib::Date &	startDate,
		const QuantLib::Date &	endDate,
		QuantLib::Real	nominal,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	index,
		const double	strikeRate
	)

Definition at line 23 of file iborfracoupon.cpp.

    : QuantLib::IborCoupon(startDate, nominal, startDate,
                           index->fixingCalendar().adjust(endDate, index->businessDayConvention()),
                           index->fixingDate(startDate), index, 1.0, -strikeRate) {}

Member Function Documentation

amount()

QuantLib::Real amount ( ) const

override

Definition at line 29 of file iborfracoupon.cpp.

                                         {
    return QuantLib::IborCoupon::amount() /
           (1 + QuantLib::IborCoupon::accrualPeriod() * QuantLib::IborCoupon::indexFixing());
}