IndexedCoupon Class Reference

indexed coupon More...

#include <qle/cashflows/indexedcoupon.hpp>

Inheritance diagram for IndexedCoupon:

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Public Member Functions
	IndexedCoupon (const QuantLib::ext::shared_ptr< Coupon > &c, const Real qty, const QuantLib::ext::shared_ptr< Index > &index, const Date &fixingDate)
	IndexedCoupon (const QuantLib::ext::shared_ptr< Coupon > &c, const Real qty, const Real initialFixing)
Observer interface
void	update () override
Coupon interface
Real	amount () const override
Real	nominal () const override
Real	rate () const override
DayCounter	dayCounter () const override
Real	accruedAmount (const Date &d) const override
Inspectors
QuantLib::ext::shared_ptr< Coupon >	underlying () const
Real	quantity () const
QuantLib::ext::shared_ptr< Index >	index () const
const Date &	fixingDate () const
Real	initialFixing () const
Real	multiplier () const

Visitability
QuantLib::ext::shared_ptr< Coupon >	c_
Real	qty_
QuantLib::ext::shared_ptr< Index >	index_
Date	fixingDate_
Real	initialFixing_
void	accept (AcyclicVisitor &) override

Detailed Description

indexed coupon

Definition at line 38 of file indexedcoupon.hpp.

Constructor & Destructor Documentation

IndexedCoupon() [1/2]

IndexedCoupon	(	const QuantLib::ext::shared_ptr< Coupon > &	c,
		const Real	qty,
		const QuantLib::ext::shared_ptr< Index > &	index,
		const Date &	fixingDate
	)

pays c->amount() * qty * index(fixingDate)

Definition at line 26 of file indexedcoupon.cpp.

    : Coupon(c->date(), 0.0, c->accrualStartDate(), c->accrualEndDate(), c->referencePeriodStart(),
             c->referencePeriodEnd(), c->exCouponDate()),
      c_(c), qty_(qty), index_(index), fixingDate_(fixingDate), initialFixing_(Null<Real>()) {
    QL_REQUIRE(index, "IndexedCoupon: index is null");
    QL_REQUIRE(fixingDate != Date(), "IndexedCoupon: fixingDate is null");
    registerWith(c);
    registerWith(index);
}

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IndexedCoupon() [2/2]

IndexedCoupon	(	const QuantLib::ext::shared_ptr< Coupon > &	c,
		const Real	qty,
		const Real	initialFixing
	)

pays c->amount() * qty * initialFixing

Definition at line 37 of file indexedcoupon.cpp.

    : Coupon(c->date(), c->nominal(), c->accrualStartDate(), c->accrualEndDate(), c->referencePeriodStart(),
             c->referencePeriodEnd(), c->exCouponDate()),
      c_(c), qty_(qty), initialFixing_(initialFixing) {
    QL_REQUIRE(initialFixing != Null<Real>(), "IndexedCoupon: initial fixing is null");
    registerWith(c);
}

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Member Function Documentation

update()

void update ( )

override

Definition at line 45 of file indexedcoupon.cpp.

{ notifyObservers(); }

amount()

Real amount ( ) const

override

Definition at line 47 of file indexedcoupon.cpp.

{ return c_->amount() * multiplier(); }

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nominal()

Real nominal ( ) const

override

Definition at line 53 of file indexedcoupon.cpp.

{ return c_->nominal() * multiplier(); }

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rate()

Real rate ( ) const

override

Definition at line 55 of file indexedcoupon.cpp.

{ return c_->rate(); }

dayCounter()

DayCounter dayCounter ( ) const

override

Definition at line 57 of file indexedcoupon.cpp.

{ return c_->dayCounter(); }

accruedAmount()

Real accruedAmount ( const Date &  d ) const

override

Definition at line 49 of file indexedcoupon.cpp.

{ return c_->accruedAmount(d) * multiplier(); }

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underlying()

QuantLib::ext::shared_ptr< Coupon > underlying

(

)

const

Definition at line 59 of file indexedcoupon.cpp.

{ return c_; }

quantity()

Real quantity

(

)

const

Definition at line 61 of file indexedcoupon.cpp.

{ return qty_; }

index()

QuantLib::ext::shared_ptr< Index > index

(

)

const

Definition at line 67 of file indexedcoupon.cpp.

{ return index_; }

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fixingDate()

const Date & fixingDate

(

)

const

Definition at line 63 of file indexedcoupon.cpp.

{ return fixingDate_; }

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initialFixing()

Real initialFixing

(

)

const

Definition at line 65 of file indexedcoupon.cpp.

{ return initialFixing_; }

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multiplier()

Real multiplier

(

)

const

Definition at line 51 of file indexedcoupon.cpp.

{ return index_ ? qty_ * index_->fixing(fixingDate_) : qty_ * initialFixing_; }

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accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 69 of file indexedcoupon.cpp.

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

Member Data Documentation

c_

QuantLib::ext::shared_ptr<Coupon> c_

private

Definition at line 76 of file indexedcoupon.hpp.

qty_

Real qty_

private

Definition at line 77 of file indexedcoupon.hpp.

index_

QuantLib::ext::shared_ptr<Index> index_

private

Definition at line 78 of file indexedcoupon.hpp.

fixingDate_

Date fixingDate_

private

Definition at line 79 of file indexedcoupon.hpp.

initialFixing_

Real initialFixing_

private

Definition at line 80 of file indexedcoupon.hpp.