base floating-rate coupon class More...

#include <floatingratecoupon.hpp>

Inheritance diagram for FloatingRateCoupon:

Collaboration diagram for FloatingRateCoupon:

Public Member Functions
	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())

LazyObject interface
void	performCalculations () const override

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

Coupon interface
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...

Inspectors
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	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...

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
ext::shared_ptr< InterestRateIndex >	index_

DayCounter	dayCounter_

Natural	fixingDays_

Real	gearing_

Spread	spread_

bool	isInArrears_

ext::shared_ptr< FloatingRateCouponPricer >	pricer_

Real	rate_

void	accept (AcyclicVisitor &) override

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

ext::shared_ptr< FloatingRateCouponPricer >	pricer () const

Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing More...

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 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

base floating-rate coupon class

Definition at line 45 of file floatingratecoupon.hpp.

Constructor & Destructor Documentation

◆ 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()`
	)

Definition at line 33 of file floatingratecoupon.cpp.

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Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from CashFlow.

Reimplemented in StrippedCappedFlooredCoupon.

Definition at line 91 of file floatingratecoupon.cpp.

◆ amount()

Real amount ( ) const

overridevirtual

returns the amount of the cash flow

Note: The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

Definition at line 67 of file floatingratecoupon.hpp.

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◆ rate()

Rate rate ( ) const

overridevirtual

accrued rate

Implements Coupon.

Reimplemented in StrippedCappedFlooredCoupon.

Definition at line 86 of file floatingratecoupon.cpp.

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◆ price()

Real price ( const Handle< YieldTermStructure > & discountingCurve ) const

Definition at line 97 of file floatingratecoupon.cpp.

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◆ dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

day counter for accrual calculation

Implements Coupon.

Definition at line 74 of file floatingratecoupon.hpp.

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◆ accruedAmount()

Real accruedAmount ( const Date & ) const

overridevirtual

accrued amount at the given date

Implements Coupon.

Reimplemented in OvernightIndexedCoupon.

Definition at line 70 of file floatingratecoupon.cpp.

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◆ index()

const ext::shared_ptr< InterestRateIndex > & index ( ) const

floating index

Definition at line 123 of file floatingratecoupon.hpp.

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◆ fixingDays()

Natural fixingDays ( ) const

fixing days

Definition at line 83 of file floatingratecoupon.hpp.

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◆ fixingDate()

Date fixingDate ( ) const

virtual

fixing date

Reimplemented in AverageBMACoupon, IborCoupon, OvernightIndexedCoupon, and SubPeriodsCoupon.

Definition at line 79 of file floatingratecoupon.cpp.

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◆ gearing()

Real gearing ( ) const

index gearing, i.e. multiplicative coefficient for the index

Definition at line 87 of file floatingratecoupon.hpp.

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◆ spread()

Spread spread ( ) const

spread paid over the fixing of the underlying index

Definition at line 89 of file floatingratecoupon.hpp.

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◆ indexFixing()

Rate indexFixing ( ) const

virtual

fixing of the underlying index

Reimplemented in AverageBMACoupon, and IborCoupon.

Definition at line 101 of file floatingratecoupon.cpp.

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◆ convexityAdjustment()

Rate convexityAdjustment ( ) const

virtual

convexity adjustment

Reimplemented in AverageBMACoupon, CappedFlooredCoupon, DigitalCoupon, and StrippedCappedFlooredCoupon.

Definition at line 127 of file floatingratecoupon.hpp.

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◆ adjustedFixing()

Rate adjustedFixing ( ) const

virtual

convexity-adjusted fixing

Definition at line 131 of file floatingratecoupon.hpp.

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◆ isInArrears()

bool isInArrears ( ) const

whether or not the coupon fixes in arrears

Definition at line 97 of file floatingratecoupon.hpp.

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◆ accept()

void accept ( AcyclicVisitor & v )

overridevirtual

Reimplemented from Coupon.

Reimplemented in IborCoupon, OvernightIndexedCoupon, RangeAccrualFloatersCoupon, SubPeriodsCoupon, CmsSpreadCoupon, DigitalCmsSpreadCoupon, StrippedCappedFlooredCoupon, and CappedFlooredCmsSpreadCoupon.

Definition at line 145 of file floatingratecoupon.hpp.

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◆ setPricer()

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

virtual

Reimplemented in IborCoupon, CappedFlooredCoupon, DigitalCoupon, and StrippedCappedFlooredCoupon.

Definition at line 60 of file floatingratecoupon.cpp.

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◆ pricer()

ext::shared_ptr< FloatingRateCouponPricer > pricer ( ) const

Definition at line 136 of file floatingratecoupon.hpp.

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◆ convexityAdjustmentImpl()

Rate convexityAdjustmentImpl ( Rate fixing ) const

protected

convexity adjustment for the given index fixing

Definition at line 141 of file floatingratecoupon.hpp.

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Member Data Documentation

◆ index_

ext::shared_ptr<InterestRateIndex> index_

protected

Definition at line 110 of file floatingratecoupon.hpp.

◆ dayCounter_

DayCounter dayCounter_

protected

Definition at line 111 of file floatingratecoupon.hpp.

◆ fixingDays_

Natural fixingDays_

protected

Definition at line 112 of file floatingratecoupon.hpp.

◆ gearing_

Real gearing_

protected

Definition at line 113 of file floatingratecoupon.hpp.

◆ spread_

Spread spread_

protected

Definition at line 114 of file floatingratecoupon.hpp.

◆ isInArrears_

bool isInArrears_

protected

Definition at line 115 of file floatingratecoupon.hpp.

◆ pricer_

ext::shared_ptr<FloatingRateCouponPricer> pricer_

protected

Definition at line 116 of file floatingratecoupon.hpp.

◆ rate_

Real rate_

mutableprotected

Definition at line 117 of file floatingratecoupon.hpp.

Public Member Functions

Visitability

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FloatingRateCoupon()

Member Function Documentation

◆ performCalculations()

◆ amount()

◆ rate()

◆ price()

◆ dayCounter()

◆ accruedAmount()

◆ index()

◆ fixingDays()

◆ fixingDate()

◆ gearing()

◆ spread()

◆ indexFixing()

◆ convexityAdjustment()

◆ adjustedFixing()

◆ isInArrears()

◆ accept()

◆ setPricer()

◆ pricer()

◆ convexityAdjustmentImpl()

Member Data Documentation

◆ index_

◆ dayCounter_

◆ fixingDays_

◆ gearing_

◆ spread_

◆ isInArrears_

◆ pricer_

◆ rate_