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| RangeAccrualFloatersCoupon (const Date &paymentDate, Real nominal, const ext::shared_ptr< IborIndex > &index, const Date &startDate, const Date &endDate, Natural fixingDays, const DayCounter &dayCounter, Real gearing, Rate spread, const Date &refPeriodStart, const Date &refPeriodEnd, ext::shared_ptr< Schedule > observationsSchedule, Real lowerTrigger, Real upperTrigger) |
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Real | startTime () const |
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Real | endTime () const |
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Real | lowerTrigger () const |
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Real | upperTrigger () const |
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Size | observationsNo () const |
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const std::vector< Date > & | observationDates () const |
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const std::vector< Real > & | observationTimes () const |
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ext::shared_ptr< Schedule > | observationsSchedule () const |
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Real | priceWithoutOptionality (const Handle< YieldTermStructure > &discountCurve) const |
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| 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()) |
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void | performCalculations () const override |
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Real | amount () const override |
| returns the amount of the cash flow More...
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Rate | rate () const override |
| accrued rate More...
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Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
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DayCounter | dayCounter () const override |
| day counter for accrual calculation More...
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Real | accruedAmount (const Date &) const override |
| accrued amount at the given date More...
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const ext::shared_ptr< InterestRateIndex > & | index () const |
| floating index More...
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Natural | fixingDays () const |
| fixing days More...
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virtual Date | fixingDate () const |
| fixing date More...
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Real | gearing () const |
| index gearing, i.e. multiplicative coefficient for the index More...
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Spread | spread () const |
| spread paid over the fixing of the underlying index More...
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virtual Rate | indexFixing () const |
| fixing of the underlying index More...
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virtual Rate | convexityAdjustment () const |
| convexity adjustment More...
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virtual Rate | adjustedFixing () const |
| convexity-adjusted fixing More...
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bool | isInArrears () const |
| whether or not the coupon fixes in arrears More...
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virtual void | setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &) |
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ext::shared_ptr< FloatingRateCouponPricer > | pricer () const |
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| Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date()) |
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Date | date () const override |
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Date | exCouponDate () const override |
| returns the date that the cash flow trades exCoupon More...
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virtual Real | nominal () const |
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const Date & | accrualStartDate () const |
| start of the accrual period More...
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const Date & | accrualEndDate () const |
| end of the accrual period More...
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const Date & | referencePeriodStart () const |
| start date of the reference period More...
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const Date & | referencePeriodEnd () const |
| end date of the reference period More...
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Time | accrualPeriod () const |
| accrual period as fraction of year More...
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Date::serial_type | accrualDays () const |
| accrual period in days More...
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Time | accruedPeriod (const Date &) const |
| accrued period as fraction of year at the given date More...
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Date::serial_type | accruedDays (const Date &) const |
| accrued days at the given date More...
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| ~CashFlow () override=default |
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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...
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bool | tradingExCoupon (const Date &refDate=Date()) const |
| returns true if the cashflow is trading ex-coupon on the refDate More...
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| ~Event () override=default |
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| Observable () |
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| Observable (const Observable &) |
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Observable & | operator= (const Observable &) |
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| Observable (Observable &&)=delete |
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Observable & | operator= (Observable &&)=delete |
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virtual | ~Observable ()=default |
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void | notifyObservers () |
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| LazyObject () |
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| ~LazyObject () override=default |
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void | update () override |
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bool | isCalculated () const |
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void | forwardFirstNotificationOnly () |
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void | alwaysForwardNotifications () |
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void | recalculate () |
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void | freeze () |
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void | unfreeze () |
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| Observer ()=default |
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| Observer (const Observer &) |
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Observer & | operator= (const Observer &) |
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virtual | ~Observer () |
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std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
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void | registerWithObservables (const ext::shared_ptr< Observer > &) |
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Size | unregisterWith (const ext::shared_ptr< Observable > &) |
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void | unregisterWithAll () |
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virtual void | update ()=0 |
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virtual void | deepUpdate () |
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Definition at line 40 of file rangeaccrual.hpp.