Coupon paying a Libor-type index More...

#include <ql/cashflows/iborcoupon.hpp>

Inheritance diagram for IborCoupon:

Collaboration diagram for IborCoupon:

Classes
class	Settings
	Per-session settings for IborCoupon class. More...

Public Member Functions
	IborCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< IborIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())

Inspectors
const ext::shared_ptr< IborIndex > &	iborIndex () const

FloatingRateCoupon interface
Rate	indexFixing () const override
	fixing of the underlying index More...

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

Visitability
void	accept (AcyclicVisitor &) 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())

void	performCalculations () const override

Real	amount () const override
	returns the amount of the cash flow More...

Rate	rate () const override
	accrued rate 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	convexityAdjustment () const
	convexity adjustment More...

virtual Rate	adjustedFixing () const
	convexity-adjusted fixing More...

bool	isInArrears () const
	whether or not the coupon fixes in arrears More...

ext::shared_ptr< FloatingRateCouponPricer >	pricer () 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 Date &	accrualStartDate () const
	start of the accrual period More...

const Date &	accrualEndDate () const
	end of the accrual period More...

const Date &	referencePeriodStart () const
	start date of the reference period More...

const Date &	referencePeriodEnd () 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 &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (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 &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (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 ()

Internal calculations
You won't probably need these methods unless you're implementing a coupon pricer.
class	IborCouponPricer

ext::shared_ptr< IborIndex >	iborIndex_

Date	fixingDate_

bool	cachedDataIsInitialized_ = false

Date	fixingValueDate_

Date	fixingEndDate_

Date	fixingMaturityDate_

Time	spanningTime_

Time	spanningTimeIndexMaturity_

const Date &	fixingValueDate () const
	Start of the deposit period underlying the index fixing. More...

const Date &	fixingMaturityDate () const
	End of the deposit period underlying the index fixing. More...

const Date &	fixingEndDate () const
	End of the deposit period underlying the coupon fixing. More...

Time	spanningTimeIndexMaturity () const
	Period underlying the index fixing, as a year fraction. More...

Time	spanningTime () const
	Period underlying the coupon fixing, as a year fraction. More...

void	initializeCachedData () const

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< InterestRateIndex >	index_

DayCounter	dayCounter_

Natural	fixingDays_

Real	gearing_

Spread	spread_

bool	isInArrears_

ext::shared_ptr< FloatingRateCouponPricer >	pricer_

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

Coupon paying a Libor-type index

Definition at line 41 of file iborcoupon.hpp.

Constructor & Destructor Documentation

◆ IborCoupon()

IborCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< IborIndex > &	index,
		Real	gearing = `1.0`,
		Spread	spread = `0.0`,
		const Date &	refPeriodStart = `Date()`,
		const Date &	refPeriodEnd = `Date()`,
		const DayCounter &	dayCounter = `DayCounter()`,
		bool	isInArrears = `false`,
		const Date &	exCouponDate = `Date()`
	)

Definition at line 35 of file iborcoupon.cpp.

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Member Function Documentation

◆ iborIndex()

const ext::shared_ptr< IborIndex > & iborIndex ( ) const

Definition at line 58 of file iborcoupon.hpp.

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◆ indexFixing()

Rate indexFixing ( ) const

overridevirtual

fixing of the underlying index

Reimplemented from FloatingRateCoupon.

Definition at line 87 of file iborcoupon.cpp.

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◆ setPricer()

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

overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 127 of file iborcoupon.cpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 132 of file iborcoupon.cpp.

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◆ fixingValueDate()

const Date & fixingValueDate ( ) const

Start of the deposit period underlying the index fixing.

Definition at line 62 of file iborcoupon.cpp.

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◆ fixingMaturityDate()

const Date & fixingMaturityDate ( ) const

End of the deposit period underlying the index fixing.

Definition at line 72 of file iborcoupon.cpp.

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◆ fixingEndDate()

const Date & fixingEndDate ( ) const

End of the deposit period underlying the coupon fixing.

This might be not the same as fixingMaturityDate if par coupons are used.

Definition at line 67 of file iborcoupon.cpp.

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◆ spanningTimeIndexMaturity()

Time spanningTimeIndexMaturity ( ) const

Period underlying the index fixing, as a year fraction.

Definition at line 82 of file iborcoupon.cpp.

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◆ spanningTime()

Time spanningTime ( ) const

Period underlying the coupon fixing, as a year fraction.

This might be not the same as spanningTimeIndexMaturity if par coupons are used.

Definition at line 77 of file iborcoupon.cpp.

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◆ initializeCachedData()

void initializeCachedData ( ) const

private

Definition at line 56 of file iborcoupon.cpp.

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Friends And Related Function Documentation

◆ IborCouponPricer

friend class IborCouponPricer

friend

Definition at line 91 of file iborcoupon.hpp.

Member Data Documentation

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 92 of file iborcoupon.hpp.

◆ fixingDate_

Date fixingDate_

private

Definition at line 93 of file iborcoupon.hpp.

◆ cachedDataIsInitialized_

bool cachedDataIsInitialized_ = false

mutableprivate

Definition at line 96 of file iborcoupon.hpp.

◆ fixingValueDate_

Date fixingValueDate_

mutableprivate

Definition at line 97 of file iborcoupon.hpp.

◆ fixingEndDate_

Date fixingEndDate_

private

Definition at line 97 of file iborcoupon.hpp.

◆ fixingMaturityDate_

Date fixingMaturityDate_

private

Definition at line 97 of file iborcoupon.hpp.

◆ spanningTime_

Time spanningTime_

mutableprivate

Definition at line 98 of file iborcoupon.hpp.

◆ spanningTimeIndexMaturity_

Time spanningTimeIndexMaturity_

private

Definition at line 98 of file iborcoupon.hpp.

Classes

Public Member Functions

Internal calculations

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ IborCoupon()

Member Function Documentation

◆ iborIndex()

◆ indexFixing()

◆ setPricer()

◆ accept()

◆ fixingValueDate()

◆ fixingMaturityDate()

◆ fixingEndDate()

◆ spanningTimeIndexMaturity()

◆ spanningTime()

◆ initializeCachedData()

Friends And Related Function Documentation

◆ IborCouponPricer

Member Data Documentation

◆ iborIndex_

◆ fixingDate_

◆ cachedDataIsInitialized_

◆ fixingValueDate_

◆ fixingEndDate_

◆ fixingMaturityDate_

◆ spanningTime_

◆ spanningTimeIndexMaturity_