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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2003 Nicolas Di Césaré

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

/*! \file inarrearindexedcoupon.hpp
    \brief in-arrear floating-rate coupon

#ifndef quantlib_in_arrear_indexed_coupon_hpp
#define quantlib_in_arrear_indexed_coupon_hpp

#include <ql/CashFlows/indexedcoupon.hpp>
#include <ql/capvolstructures.hpp>

namespace QuantLib {

    //! In-arrear floating-rate coupon
    /*! \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.

        \test The class is tested by comparing the value of an in-arrear
              swap against a known good value.
00040     class InArrearIndexedCoupon : public IndexedCoupon {
        InArrearIndexedCoupon(Real nominal,
                              const Date& paymentDate,
                              const boost::shared_ptr<Xibor>& index,
                              const Date& startDate, const Date& endDate,
                              Integer fixingDays,
                              Spread spread = 0.0,
                              const Date& refPeriodStart = Date(),
                              const Date& refPeriodEnd = Date(),
                              const DayCounter& dayCounter = DayCounter())
        : IndexedCoupon(nominal, paymentDate, index, startDate, endDate,
                        fixingDays, spread, refPeriodStart, refPeriodEnd,
          xibor_(index) {}
        //! \name FloatingRateCoupon interface
        Date fixingDate() const;
        //! \name Modifiers
        void setCapletVolatility(const Handle<CapletVolatilityStructure>&);
        //! \name Visitability
        virtual void accept(AcyclicVisitor&);
        Rate convexityAdjustment(Rate fixing) const;
        boost::shared_ptr<Xibor> xibor_;
        Handle<CapletVolatilityStructure> capletVolatility_;

    // inline definitions

00076     inline Date InArrearIndexedCoupon::fixingDate() const {
        // fix at the end of period
        return xibor_->calendar().advance(accrualEndDate_,
                                          -fixingDays_, Days,

    inline void InArrearIndexedCoupon::accept(AcyclicVisitor& v) {
        Visitor<InArrearIndexedCoupon>* v1 =
        if (v1 != 0)



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