QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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overnight coupon More...
#include <overnightindexedcoupon.hpp>
Public Member Functions | |
OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound) | |
Inspectors | |
const std::vector< Date > & | fixingDates () const |
fixing dates for the rates to be compounded More... | |
const std::vector< Time > & | dt () const |
accrual (compounding) periods More... | |
const std::vector< Rate > & | indexFixings () const |
fixings to be compounded More... | |
const std::vector< Date > & | valueDates () const |
value dates for the rates to be compounded More... | |
const RateAveraging::Type | averagingMethod () const |
averaging method More... | |
FloatingRateCoupon interface | |
Date | fixingDate () const override |
the date when the coupon is fully determined More... | |
Real | accruedAmount (const Date &) const override |
accrued amount at the given date More... | |
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... | |
const ext::shared_ptr< InterestRateIndex > & | index () const |
floating index More... | |
Natural | fixingDays () const |
fixing days 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 | 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... | |
virtual void | setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &) |
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 () |
Visitability | |
std::vector< Date > | valueDates_ |
std::vector< Date > | fixingDates_ |
std::vector< Rate > | fixings_ |
Size | n_ |
std::vector< Time > | dt_ |
RateAveraging::Type | averagingMethod_ |
void | accept (AcyclicVisitor &) override |
Rate | averageRate (const Date &date) 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_ |
overnight coupon
Coupon paying the interest, depending on the averaging convention, due to daily overnight fixings.
Definition at line 49 of file overnightindexedcoupon.hpp.
OvernightIndexedCoupon | ( | const Date & | paymentDate, |
Real | nominal, | ||
const Date & | startDate, | ||
const Date & | endDate, | ||
const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
Real | gearing = 1.0 , |
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Spread | spread = 0.0 , |
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const Date & | refPeriodStart = Date() , |
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const Date & | refPeriodEnd = Date() , |
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const DayCounter & | dayCounter = DayCounter() , |
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bool | telescopicValueDates = false , |
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RateAveraging::Type | averagingMethod = RateAveraging::Compound |
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) |
Definition at line 138 of file overnightindexedcoupon.cpp.
const std::vector< Date > & fixingDates | ( | ) | const |
fixing dates for the rates to be compounded
Definition at line 67 of file overnightindexedcoupon.hpp.
const std::vector< Time > & dt | ( | ) | const |
accrual (compounding) periods
Definition at line 69 of file overnightindexedcoupon.hpp.
const vector< Rate > & indexFixings | ( | ) | const |
fixings to be compounded
Definition at line 256 of file overnightindexedcoupon.cpp.
const std::vector< Date > & valueDates | ( | ) | const |
value dates for the rates to be compounded
Definition at line 73 of file overnightindexedcoupon.hpp.
const RateAveraging::Type averagingMethod | ( | ) | const |
averaging method
Definition at line 75 of file overnightindexedcoupon.hpp.
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overridevirtual |
the date when the coupon is fully determined
Reimplemented from FloatingRateCoupon.
Definition at line 80 of file overnightindexedcoupon.hpp.
accrued amount at the given date
Reimplemented from FloatingRateCoupon.
Definition at line 234 of file overnightindexedcoupon.cpp.
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overridevirtual |
Reimplemented from FloatingRateCoupon.
Definition at line 263 of file overnightindexedcoupon.cpp.
Definition at line 246 of file overnightindexedcoupon.cpp.
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private |
Definition at line 88 of file overnightindexedcoupon.hpp.
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private |
Definition at line 88 of file overnightindexedcoupon.hpp.
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mutableprivate |
Definition at line 89 of file overnightindexedcoupon.hpp.
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private |
Definition at line 90 of file overnightindexedcoupon.hpp.
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private |
Definition at line 91 of file overnightindexedcoupon.hpp.
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private |
Definition at line 92 of file overnightindexedcoupon.hpp.