RateAveraging Struct Reference

rate averaging method More...

#include <rateaveraging.hpp>

Collaboration diagram for RateAveraging:

Public Types
enum	Type { Simple , Compound }

Detailed Description

rate averaging method

It allows to configure how interest is accrued in multi-fixing coupons or futures.

Definition at line 35 of file rateaveraging.hpp.

Member Enumeration Documentation

Type

enum Type

Enumerator
Simple	Under the simple convention the amount of interest is calculated by applying the sub-rate to the principal, and the payment due at the end of the period is the sum of those amounts.
Compound	Under the compound convention, the additional amount of interest owed each period is calculated by applying the rate both to the principal and the accumulated unpaid interest.

Definition at line 36 of file rateaveraging.hpp.