coupon accruing over a fixed period More...

#include <coupon.hpp>

Inheritance diagram for Coupon:

Collaboration diagram for Coupon:

Public Member Functions
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

Event interface
Date	date () const override

CashFlow interface
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon More...

Inspectors
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...

virtual Rate	rate () const =0
	accrued rate More...

virtual DayCounter	dayCounter () const =0
	day counter for accrual calculation 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...

virtual Real	accruedAmount (const Date &) const =0
	accrued amount 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...

void	performCalculations () const override

virtual Real	amount () const =0
	returns the amount of the cash flow 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
Date	paymentDate_

Real	nominal_

Date	accrualStartDate_

Date	accrualEndDate_

Date	refPeriodStart_

Date	refPeriodEnd_

Date	exCouponDate_

Real	accrualPeriod_

void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

coupon accruing over a fixed period

This class implements part of the CashFlow interface but it is still abstract and provides derived classes with methods for accrual period calculations.

Definition at line 39 of file coupon.hpp.

Constructor & Destructor Documentation

◆ 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()`
	)

Warning:: the coupon does not adjust the payment date which must already be a business day.

Definition at line 27 of file coupon.cpp.

Member Function Documentation

◆ date()

Date date ( ) const

overridevirtual

Note: This is inherited from the event class

Implements CashFlow.

Definition at line 53 of file coupon.hpp.

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◆ exCouponDate()

Date exCouponDate ( ) const

overridevirtual

returns the date that the cash flow trades exCoupon

Reimplemented from CashFlow.

Definition at line 57 of file coupon.hpp.

◆ nominal()

Real nominal ( ) const

virtual

Definition at line 100 of file coupon.hpp.

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◆ accrualStartDate()

const Date & accrualStartDate ( ) const

start of the accrual period

Definition at line 104 of file coupon.hpp.

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◆ accrualEndDate()

const Date & accrualEndDate ( ) const

end of the accrual period

Definition at line 108 of file coupon.hpp.

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◆ referencePeriodStart()

const Date & referencePeriodStart ( ) const

start date of the reference period

Definition at line 112 of file coupon.hpp.

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◆ referencePeriodEnd()

const Date & referencePeriodEnd ( ) const

end date of the reference period

Definition at line 116 of file coupon.hpp.

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◆ accrualPeriod()

Time accrualPeriod ( ) const

accrual period as fraction of year

Definition at line 44 of file coupon.cpp.

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◆ accrualDays()

Date::serial_type accrualDays ( ) const

accrual period in days

Definition at line 52 of file coupon.cpp.

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◆ rate()

virtual Rate rate ( ) const

pure virtual

accrued rate

Implemented in CappedFlooredCoupon, CappedFlooredYoYInflationCoupon, DigitalCoupon, FixedRateCoupon, FloatingRateCoupon, InflationCoupon, and StrippedCappedFlooredCoupon.

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◆ dayCounter()

virtual DayCounter dayCounter ( ) const

pure virtual

day counter for accrual calculation

Implemented in FixedRateCoupon, FloatingRateCoupon, and InflationCoupon.

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◆ accruedPeriod()

Time accruedPeriod ( const Date & d ) const

accrued period as fraction of year at the given date

Definition at line 57 of file coupon.cpp.

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◆ accruedDays()

Date::serial_type accruedDays ( const Date & d ) const

accrued days at the given date

Definition at line 71 of file coupon.cpp.

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◆ accruedAmount()

virtual Real accruedAmount ( const Date & ) const

pure virtual

accrued amount at the given date

Implemented in CPICoupon, FixedRateCoupon, FloatingRateCoupon, InflationCoupon, and OvernightIndexedCoupon.

◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from CashFlow.

Reimplemented in CPICoupon, DigitalCmsCoupon, DigitalCoupon, DigitalIborCoupon, FixedRateCoupon, FloatingRateCoupon, IborCoupon, InflationCoupon, OvernightIndexedCoupon, RangeAccrualFloatersCoupon, SubPeriodsCoupon, YoYInflationCoupon, CmsSpreadCoupon, DigitalCmsSpreadCoupon, StrippedCappedFlooredCoupon, and CappedFlooredCmsSpreadCoupon.

Definition at line 80 of file coupon.cpp.

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Member Data Documentation

◆ paymentDate_

Date paymentDate_

protected

Definition at line 90 of file coupon.hpp.

◆ nominal_

Real nominal_

protected

Definition at line 91 of file coupon.hpp.

◆ accrualStartDate_

Date accrualStartDate_

protected

Definition at line 92 of file coupon.hpp.

◆ accrualEndDate_

Date accrualEndDate_

protected

Definition at line 92 of file coupon.hpp.

◆ refPeriodStart_

Date refPeriodStart_

protected

Definition at line 92 of file coupon.hpp.

◆ refPeriodEnd_

Date refPeriodEnd_

protected

Definition at line 92 of file coupon.hpp.

◆ exCouponDate_

Date exCouponDate_

protected

Definition at line 93 of file coupon.hpp.

◆ accrualPeriod_

Real accrualPeriod_

mutableprotected

Definition at line 94 of file coupon.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Coupon()

Member Function Documentation

◆ date()

◆ exCouponDate()

◆ nominal()

◆ accrualStartDate()

◆ accrualEndDate()

◆ referencePeriodStart()

◆ referencePeriodEnd()

◆ accrualPeriod()

◆ accrualDays()

◆ rate()

◆ dayCounter()

◆ accruedPeriod()

◆ accruedDays()

◆ accruedAmount()

◆ accept()

Member Data Documentation

◆ paymentDate_

◆ nominal_

◆ accrualStartDate_

◆ accrualEndDate_

◆ refPeriodStart_

◆ refPeriodEnd_

◆ exCouponDate_

◆ accrualPeriod_