QuantLib: CmsSpreadCoupon Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Public Member Functions | List of all members
CmsSpreadCoupon Class Reference

CMS spread coupon class. More...

`#include <ql/experimental/coupons/cmsspreadcoupon.hpp>`

Inheritance diagram for CmsSpreadCoupon:
[legend]

## Public Member Functions
| CmsSpreadCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< SwapSpreadIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false)
Inspectors
const boost::shared_ptr< SwapSpreadIndex > & | swapSpreadIndex () const
Visitability
virtual void | accept (AcyclicVisitor &)
Public Member Functions inherited from FloatingRateCoupon
| 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
Real | amount () const
| returns the amount of the cash flow More...
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
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
void | update ()
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
Date | exCouponDate () const
| returns the date that the cash flow trades exCoupon
Real | nominal () const
const Date & | accrualStartDate () const
| start of the accrual period
const Date & | accrualEndDate () const
| end of the accrual period
const Date & | referencePeriodStart () const
| start date of the reference period
const Date & | referencePeriodEnd () 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
Public Member Functions inherited from CashFlow
bool | hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
| 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
Event interface
Visitability
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()

## Additional Inherited Members
Protected Member Functions inherited from FloatingRateCoupon
Rate | convexityAdjustmentImpl (Rate fixing) const
| convexity adjustment for the given index fixing
Protected Attributes inherited from FloatingRateCoupon
boost::shared_ptr< InterestRateIndex > | index_
DayCounter | dayCounter_
Natural | fixingDays_
Real | gearing_
Spread | spread_
bool | isInArrears_
boost::shared_ptr< FloatingRateCouponPricer > | pricer_
Protected Attributes inherited from Coupon
Date | paymentDate_
Real | nominal_
Date | accrualStartDate_
Date | accrualEndDate_
Date | refPeriodStart_
Date | refPeriodEnd_
Date | exCouponDate_
Real | accrualPeriod_

## Detailed Description

CMS spread coupon class.

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.