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Public Member Functions | List of all members
StrippedCappedFlooredCoupon Class Reference

#include <ql/experimental/coupons/strippedcapflooredcoupon.hpp>

+ Inheritance diagram for StrippedCappedFlooredCoupon:
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Public Member Functions

 StrippedCappedFlooredCoupon (const ext::shared_ptr< CappedFlooredCoupon > &underlying)
 
Obverver interface
void deepUpdate () override
 
- Public Member Functions inherited from FloatingRateCoupon
 FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
 
Real amount () const override
 returns the amount of the cash flow More...
 
Real price (const Handle< YieldTermStructure > &discountingCurve) const
 
DayCounter dayCounter () const override
 day counter for accrual calculation More...
 
Real accruedAmount (const Date &) const override
 accrued amount at the given date More...
 
const ext::shared_ptr< InterestRateIndex > & index () const
 floating index More...
 
Natural fixingDays () const
 fixing days More...
 
virtual Date fixingDate () const
 fixing date More...
 
Real gearing () const
 index gearing, i.e. multiplicative coefficient for the index More...
 
Spread spread () const
 spread paid over the fixing of the underlying index More...
 
virtual Rate indexFixing () const
 fixing of the underlying index More...
 
virtual Rate adjustedFixing () const
 convexity-adjusted fixing More...
 
bool isInArrears () const
 whether or not the coupon fixes in arrears More...
 
ext::shared_ptr< FloatingRateCouponPricerpricer () const
 
- Public Member Functions inherited from Coupon
 Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
Date date () const override
 
Date exCouponDate () const override
 returns the date that the cash flow trades exCoupon More...
 
virtual Real nominal () const
 
const DateaccrualStartDate () const
 start of the accrual period More...
 
const DateaccrualEndDate () const
 end of the accrual period More...
 
const DatereferencePeriodStart () const
 start date of the reference period More...
 
const DatereferencePeriodEnd () const
 end date of the reference period More...
 
Time accrualPeriod () const
 accrual period as fraction of year More...
 
Date::serial_type accrualDays () const
 accrual period in days More...
 
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date More...
 
Date::serial_type accruedDays (const Date &) const
 accrued days at the given date More...
 
- Public Member Functions inherited from CashFlow
 ~CashFlow () override=default
 
bool hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
 returns true if an event has already occurred before a date More...
 
bool tradingExCoupon (const Date &refDate=Date()) const
 returns true if the cashflow is trading ex-coupon on the refDate More...
 
- Public Member Functions inherited from Event
 ~Event () override=default
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
void update () override
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 

LazyObject interface

ext::shared_ptr< CappedFlooredCouponunderlying_
 
void performCalculations () const override
 
Rate rate () const override
 Coupon interface. More...
 
Rate convexityAdjustment () const override
 convexity adjustment More...
 
Rate cap () const
 cap More...
 
Rate floor () const
 floor More...
 
Rate effectiveCap () const
 effective cap More...
 
Rate effectiveFloor () const
 effective floor More...
 
void accept (AcyclicVisitor &) override
 Visitability. More...
 
bool isCap () const
 
bool isFloor () const
 
bool isCollar () const
 
void setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &pricer) override
 
ext::shared_ptr< CappedFlooredCouponunderlying ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from FloatingRateCoupon
Rate convexityAdjustmentImpl (Rate fixing) const
 convexity adjustment for the given index fixing More...
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from FloatingRateCoupon
ext::shared_ptr< InterestRateIndexindex_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
Real gearing_
 
Spread spread_
 
bool isInArrears_
 
ext::shared_ptr< FloatingRateCouponPricerpricer_
 
Real rate_
 
- Protected Attributes inherited from Coupon
Date paymentDate_
 
Real nominal_
 
Date accrualStartDate_
 
Date accrualEndDate_
 
Date refPeriodStart_
 
Date refPeriodEnd_
 
Date exCouponDate_
 
Real accrualPeriod_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Definition at line 31 of file strippedcapflooredcoupon.hpp.

Constructor & Destructor Documentation

◆ StrippedCappedFlooredCoupon()

StrippedCappedFlooredCoupon ( const ext::shared_ptr< CappedFlooredCoupon > &  underlying)
explicit

Definition at line 26 of file strippedcapflooredcoupon.cpp.

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Member Function Documentation

◆ deepUpdate()

void deepUpdate ( )
overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 40 of file strippedcapflooredcoupon.cpp.

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◆ performCalculations()

void performCalculations ( ) const
overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from FloatingRateCoupon.

Definition at line 45 of file strippedcapflooredcoupon.cpp.

◆ rate()

Rate rate ( ) const
overridevirtual

Coupon interface.

Reimplemented from FloatingRateCoupon.

Definition at line 65 of file strippedcapflooredcoupon.cpp.

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◆ convexityAdjustment()

Rate convexityAdjustment ( ) const
overridevirtual

convexity adjustment

Reimplemented from FloatingRateCoupon.

Definition at line 70 of file strippedcapflooredcoupon.cpp.

◆ cap()

Rate cap ( ) const

cap

Definition at line 74 of file strippedcapflooredcoupon.cpp.

◆ floor()

Rate floor ( ) const

floor

Definition at line 76 of file strippedcapflooredcoupon.cpp.

◆ effectiveCap()

Rate effectiveCap ( ) const

effective cap

Definition at line 80 of file strippedcapflooredcoupon.cpp.

◆ effectiveFloor()

Rate effectiveFloor ( ) const

effective floor

Definition at line 84 of file strippedcapflooredcoupon.cpp.

◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Visitability.

Reimplemented from FloatingRateCoupon.

Definition at line 88 of file strippedcapflooredcoupon.cpp.

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◆ isCap()

bool isCap ( ) const

Definition at line 97 of file strippedcapflooredcoupon.cpp.

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◆ isFloor()

bool isFloor ( ) const

Definition at line 101 of file strippedcapflooredcoupon.cpp.

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◆ isCollar()

bool isCollar ( ) const

Definition at line 105 of file strippedcapflooredcoupon.cpp.

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◆ setPricer()

void setPricer ( const ext::shared_ptr< FloatingRateCouponPricer > &  pricer)
overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 109 of file strippedcapflooredcoupon.cpp.

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◆ underlying()

ext::shared_ptr< CappedFlooredCoupon > underlying ( )

Definition at line 67 of file strippedcapflooredcoupon.hpp.

Member Data Documentation

◆ underlying_

ext::shared_ptr<CappedFlooredCoupon> underlying_
protected

Definition at line 70 of file strippedcapflooredcoupon.hpp.