SubPeriodsCoupon1 Class Reference

Sub-periods coupon. More...

#include <qle/cashflows/subperiodscoupon.hpp>

Inheritance diagram for SubPeriodsCoupon1:

Collaboration diagram for SubPeriodsCoupon1:

Public Types
enum	Type { Averaging , Compounding }

Public Member Functions
	SubPeriodsCoupon1 (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const QuantLib::ext::shared_ptr< InterestRateIndex > &index, Type type, BusinessDayConvention convention, Spread spread=0.0, const DayCounter &dayCounter=DayCounter(), bool includeSpread=false, Real gearing=1.0)
Inspectors
const std::vector< Date > &	fixingDates () const
	fixing dates for the sub-periods More...
const std::vector< Time > &	accrualFractions () const
	accrual periods for the sub-periods More...
const std::vector< Rate > &	indexFixings () const
	fixings for the sub-periods More...
const std::vector< Date > &	valueDates () const
	value dates for the sub-periods More...
Type	type () const
	whether sub-period fixings are averaged or compounded More...
bool	includeSpread () const
	whether to include/exclude spread in compounding/averaging More...
Spread	spread () const
	Need to be able to change spread to solve for fair spread. More...
Spread &	spread ()
FloatingRateCoupon interface
Date	fixingDate () const override
	the date when the coupon is fully determined More...

Visitability
Type	type_
bool	includeSpread_
std::vector< Date >	valueDates_
std::vector< Date >	fixingDates_
std::vector< Rate >	fixings_
Size	numPeriods_
std::vector< Time >	accrualFractions_
void	accept (AcyclicVisitor &) override

Detailed Description

Sub-periods coupon.

The coupon period tenor is a multiple of the tenor associated with the index. The index tenor divides the coupon period into sub-periods. The index fixing for each sub-period is compounded or averaged over the full coupon period.

\ingroup cashflows
\todo merge into QuantLib

Definition at line 46 of file subperiodscoupon.hpp.

Member Enumeration Documentation

Type

enum Type

Enumerator
Averaging
Compounding

Definition at line 48 of file subperiodscoupon.hpp.

{ Averaging, Compounding };

Constructor & Destructor Documentation

SubPeriodsCoupon1()

SubPeriodsCoupon1	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const QuantLib::ext::shared_ptr< InterestRateIndex > &	index,
		Type	type,
		BusinessDayConvention	convention,
		Spread	spread = 0.0,
		const DayCounter &	dayCounter = DayCounter(),
		bool	includeSpread = false,
		Real	gearing = 1.0
	)

Definition at line 31 of file subperiodscoupon.cpp.

    : FloatingRateCoupon(paymentDate, nominal, startDate, endDate, index->fixingDays(), index, gearing, spread, Date(),
                         Date(), dayCounter, false),
      type_(type), includeSpread_(includeSpread) {
 
    // Populate the value dates.
    Schedule sch = MakeSchedule()
                       .from(startDate)
                       .to(endDate)
                       .withTenor(index->tenor())
                       .withCalendar(index->fixingCalendar())
                       .withConvention(convention)
                       .withTerminationDateConvention(convention)
                       .backwards();
    valueDates_ = sch.dates();
    QL_ENSURE(valueDates_.size() >= 2, "Degenerate schedule.");
 
    // Populate the fixing dates.
    numPeriods_ = valueDates_.size() - 1;
    if (index->fixingDays() == 0) {
        fixingDates_ = std::vector<Date>(valueDates_.begin(), valueDates_.end() - 1);
    } else {
        fixingDates_.resize(numPeriods_);
        for (Size i = 0; i < numPeriods_; ++i)
            fixingDates_[i] = index->fixingDate(valueDates_[i]);
    }
 
    // Populate the accrual periods.
    accrualFractions_.resize(numPeriods_);
    for (Size i = 0; i < numPeriods_; ++i) {
        accrualFractions_[i] = dayCounter.yearFraction(valueDates_[i], valueDates_[i + 1]);
    }
}

Member Function Documentation

fixingDates()

const std::vector< Date > & fixingDates

(

)

const

fixing dates for the sub-periods

Definition at line 56 of file subperiodscoupon.hpp.

{ return fixingDates_; }

accrualFractions()

const std::vector< Time > & accrualFractions

(

)

const

accrual periods for the sub-periods

Definition at line 58 of file subperiodscoupon.hpp.

{ return accrualFractions_; }

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indexFixings()

const std::vector< Rate > & indexFixings

(

)

const

fixings for the sub-periods

Definition at line 68 of file subperiodscoupon.cpp.

                                                             {
 
    fixings_.resize(numPeriods_);
 
    for (Size i = 0; i < numPeriods_; ++i) {
        fixings_[i] = index_->fixing(fixingDates_[i]);
    }
 
    return fixings_;
}

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valueDates()

const std::vector< Date > & valueDates

(

)

const

value dates for the sub-periods

Definition at line 62 of file subperiodscoupon.hpp.

{ return valueDates_; }

type()

Type type

(

)

const

whether sub-period fixings are averaged or compounded

Definition at line 64 of file subperiodscoupon.hpp.

{ return type_; }

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includeSpread()

bool includeSpread

(

)

const

whether to include/exclude spread in compounding/averaging

Definition at line 66 of file subperiodscoupon.hpp.

{ return includeSpread_; }

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spread() [1/2]

Spread spread

(

)

const

Need to be able to change spread to solve for fair spread.

Definition at line 68 of file subperiodscoupon.hpp.

{ return spread_; }

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spread() [2/2]

Spread & spread

(

)

Definition at line 69 of file subperiodscoupon.hpp.

{ return spread_; }

fixingDate()

Date fixingDate ( ) const

override

the date when the coupon is fully determined

Definition at line 74 of file subperiodscoupon.hpp.

{ return fixingDates_.back(); }

accept()

void accept ( AcyclicVisitor &  v )

override

Definition at line 79 of file subperiodscoupon.cpp.

                                                {
    Visitor<SubPeriodsCoupon1>* v1 = dynamic_cast<Visitor<SubPeriodsCoupon1>*>(&v);
    if (v1 != 0) {
        v1->visit(*this);
    } else {
        FloatingRateCoupon::accept(v);
    }
}

Member Data Documentation

type_

Type type_

private

Definition at line 81 of file subperiodscoupon.hpp.

includeSpread_

bool includeSpread_

private

Definition at line 82 of file subperiodscoupon.hpp.

valueDates_

std::vector<Date> valueDates_

private

Definition at line 83 of file subperiodscoupon.hpp.

fixingDates_

std::vector<Date> fixingDates_

private

Definition at line 83 of file subperiodscoupon.hpp.

fixings_

std::vector<Rate> fixings_

mutableprivate

Definition at line 84 of file subperiodscoupon.hpp.

numPeriods_

Size numPeriods_

private

Definition at line 85 of file subperiodscoupon.hpp.

accrualFractions_

std::vector<Time> accrualFractions_

private

Definition at line 86 of file subperiodscoupon.hpp.