#include <capflooredcoupon.hpp>
Inheritance diagram for CappedFlooredCmsCoupon:
Collaboration diagram for CappedFlooredCmsCoupon:
Public Member Functions | |
| CappedFlooredCmsCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< SwapIndex > &index, Real gearing=1.0, Spread spread=0.0, const Rate cap=Null< Rate >(), const Rate floor=Null< Rate >(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date()) | |
| void | accept (AcyclicVisitor &v) override |
| Public Member Functions inherited from CappedFlooredCoupon | |
| CappedFlooredCoupon (const ext::shared_ptr< FloatingRateCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >()) | |
| void | deepUpdate () override |
| void | performCalculations () const override |
| Rate | rate () const override |
| accrued rate More... | |
| Rate | convexityAdjustment () const override |
| convexity adjustment More... | |
| Rate | cap () const |
| cap More... | |
| Rate | floor () const |
| floor More... | |
| Rate | effectiveCap () const |
| effective cap of fixing More... | |
| Rate | effectiveFloor () const |
| effective floor of fixing More... | |
| bool | isCapped () const |
| bool | isFloored () const |
| void | setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &pricer) override |
| ext::shared_ptr< FloatingRateCoupon > | underlying () |
| 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 | indexFixing () const |
| fixing of the underlying index More... | |
| virtual Rate | adjustedFixing () const |
| convexity-adjusted fixing More... | |
| bool | isInArrears () const |
| whether or not the coupon fixes in arrears More... | |
| void | accept (AcyclicVisitor &) override |
| 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 () |
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 CappedFlooredCoupon | |
| ext::shared_ptr< FloatingRateCoupon > | underlying_ |
| bool | isCapped_ = false |
| bool | isFloored_ = false |
| Rate | cap_ |
| Rate | floor_ |
| 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
Definition at line 135 of file capflooredcoupon.hpp.
Constructor & Destructor Documentation
◆ CappedFlooredCmsCoupon()
| CappedFlooredCmsCoupon | ( | const Date & | paymentDate, |
| Real | nominal, | ||
| const Date & | startDate, | ||
| const Date & | endDate, | ||
| Natural | fixingDays, | ||
| const ext::shared_ptr< SwapIndex > & | index, | ||
| Real | gearing = 1.0, |
||
| Spread | spread = 0.0, |
||
| const Rate | cap = Null<Rate>(), |
||
| const Rate | floor = Null<Rate>(), |
||
| const Date & | refPeriodStart = Date(), |
||
| const Date & | refPeriodEnd = Date(), |
||
| const DayCounter & | dayCounter = DayCounter(), |
||
| bool | isInArrears = false, |
||
| const Date & | exCouponDate = Date() |
||
| ) |
Definition at line 137 of file capflooredcoupon.hpp.
Member Function Documentation
◆ accept()
|
overridevirtual |
Reimplemented from CappedFlooredCoupon.
Definition at line 158 of file capflooredcoupon.hpp.
Here is the call graph for this function: