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Public Member Functions | Protected Member Functions | Protected Attributes | Private Attributes

QuantLib::OvernightIndexedCoupon Class Reference

overnight coupon More...

#include <overnightindexedcoupon.hpp>

Inheritance diagram for QuantLib::OvernightIndexedCoupon:
Inheritance graph
Collaboration diagram for QuantLib::OvernightIndexedCoupon:
Collaboration graph

List of all members.

Public Member Functions

void notifyObservers ()
 OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter())
< FloatingRateCouponPricer
pricer () const
void registerWith (const boost::shared_ptr< Observable > &)
void setPricer (const boost::shared_ptr< FloatingRateCouponPricer > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
const std::vector< Date > & fixingDates () const
 fixing dates for the rates to be compounded
const std::vector< Time > & dt () const
 accrual (compounding) periods
const std::vector< Rate > & indexFixings () const
 fixings to be compounded
const std::vector< Date > & valueDates () const
 value dates for the rates to be compounded
FloatingRateCoupon interface
Date fixingDate () const
 the date when the coupon is fully determined
void accept (AcyclicVisitor &)
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
const boost::shared_ptr
< InterestRateIndex > & 
index () const
 floating index
Natural fixingDays () const
 fixing days
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 ()
Event interface
Date date () const
Real nominal () const
const DateaccrualStartDate () const
 start of the accrual period
const DateaccrualEndDate () const
 end of the accrual period
const DatereferencePeriodStart () const
 start date of the reference period
const DatereferencePeriodEnd () const
 end date of the reference period
Time accrualPeriod () const
 accrual period as fraction of year
BigInteger accrualDays () const
 accrual period in days
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date
BigInteger accruedDays (const Date &) const
 accrued days at the given date
Event interface
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 returns true if an event has already occurred before a date

Protected Member Functions

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

Protected Attributes

Date accrualEndDate_
Date accrualStartDate_
DayCounter dayCounter_
Natural fixingDays_
Real gearing_
< InterestRateIndex
bool isInArrears_
Real nominal_
Date paymentDate_
< FloatingRateCouponPricer
Date refPeriodEnd_
Date refPeriodStart_
Spread spread_

Private Attributes

std::vector< Timedt_
std::vector< DatefixingDates_
std::vector< Ratefixings_
Size n_
std::vector< DatevalueDates_

Detailed Description

overnight coupon

Coupon paying the compounded interest due to daily overnight fixings.

Definition at line 36 of file overnightindexedcoupon.hpp.

The documentation for this class was generated from the following files:

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