- QuantLib
- FloatingRateCoupon
 
base floating-rate coupon class More...
#include <ql/cashflows/floatingratecoupon.hpp>

| Public Member Functions | |
| FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false) | |
| void | setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &) | 
| boost::shared_ptr < FloatingRateCouponPricer > | pricer () const | 
| CashFlow interface | |
| Real | amount () const | 
| returns the amount of the cash flow | |
| Coupon interface | |
| Rate | rate () const | 
| accrued rate | |
| Real | price (const Handle< YieldTermStructure > &discountingCurve) const | 
| DayCounter | dayCounter () const | 
| day counter for accrual calculation | |
| Real | accruedAmount (const Date &) const | 
| accrued amount at the given date | |
| Inspectors | |
| const boost::shared_ptr < InterestRateIndex > & | index () const | 
| floating index | |
| Natural | fixingDays () const | 
| fixing days | |
| virtual Date | fixingDate () const | 
| fixing date | |
| Real | gearing () const | 
| index gearing, i.e. multiplicative coefficient for the index | |
| Spread | spread () const | 
| spread paid over the fixing of the underlying index | |
| virtual Rate | indexFixing () const | 
| fixing of the underlying index | |
| virtual Rate | convexityAdjustment () const | 
| convexity adjustment | |
| virtual Rate | adjustedFixing () const | 
| convexity-adjusted fixing | |
| bool | isInArrears () const | 
| whether or not the coupon fixes in arrears | |
| Observer interface | |
| void | update () | 
| Visitability | |
| virtual void | accept (AcyclicVisitor &) | 
| Protected Member Functions | |
| Rate | convexityAdjustmentImpl (Rate fixing) const | 
| convexity adjustment for the given index fixing | |
| Protected Attributes | |
| boost::shared_ptr < InterestRateIndex > | index_ | 
| DayCounter | dayCounter_ | 
| Natural | fixingDays_ | 
| Real | gearing_ | 
| Spread | spread_ | 
| bool | isInArrears_ | 
| boost::shared_ptr < FloatingRateCouponPricer > | pricer_ | 
base floating-rate coupon class
returns the amount of the cash flow
Implements CashFlow.
| void update | ( | ) |  [virtual] | 
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in DigitalCoupon, and CappedFlooredCoupon.