QuantLib 0.3.8
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Reference manual
FloatingRateCoupon Class Reference
#include <ql/CashFlows/floatingratecoupon.hpp>
Inheritance diagram for FloatingRateCoupon:
Detailed Description
Coupon paying a variable rate
- Warning:
- This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
Public Member Functions | |
| FloatingRateCoupon (Real nominal, const Date &paymentDate, const Date &startDate, const Date &endDate, Integer fixingDays, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) | |
Coupon interface | |
| Rate | rate () const |
| accrued rate | |
| Real | accruedAmount (const Date &) const |
| accrued amount at the given date | |
Inspectors | |
| Integer | fixingDays () const |
| fixing days | |
| virtual Spread | spread () const |
| spread paid over the fixing of the underlying index | |
| virtual Rate | indexFixing () const =0 |
| fixing of the underlying index | |
| virtual Rate | fixing () const =0 |
| virtual Date | fixingDate () const =0 |
| fixing date | |
Visitability | |
| virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| virtual Rate | convexityAdjustment (Rate fixing) const |
| convexity adjustment for the given index fixing | |
Protected Attributes | |
| Integer | fixingDays_ |
| Spread | spread_ |
Member Function Documentation
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Implemented in IndexedCoupon, and ParCoupon. |
