equity coupon More...
#include <qle/cashflows/equitycoupon.hpp>
Public Member Functions | |
EquityCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< QuantExt::EquityIndex2 > &equityCurve, const DayCounter &dayCounter, EquityReturnType returnType, Real dividendFactor=1.0, bool notionalReset=false, Real initialPrice=Null< Real >(), Real quantity=Null< Real >(), const Date &fixingStartDate=Date(), const Date &fixingEndDate=Date(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), const boost::shared_ptr< FxIndex > &fxIndex=nullptr, const bool initialPriceIsInTargetCcy=false, Real legInitialNotional=Null< Real >(), const Date &legFixingDate=Date()) | |
CashFlow interface | |
Real | amount () const override |
Coupon interface | |
DayCounter | dayCounter () const override |
Real | accruedAmount (const Date &) const override |
Rate | rate () const override |
Real | nominal () const override |
Inspectors | |
const boost::shared_ptr< QuantExt::EquityIndex2 > & | equityCurve () const |
equity reference rate curve | |
const boost::shared_ptr< FxIndex > & | fxIndex () const |
fx index curve | |
EquityReturnType | returnType () const |
the return type of the coupon | |
Real | dividendFactor () const |
are dividends scaled (e.g. to account for tax) | |
Date | fixingStartDate () const |
The date at which the starting equity price is fixed. | |
Date | fixingEndDate () const |
The date at which performance is measured. | |
std::vector< Date > | fixingDates () const |
return both fixing dates | |
Real | initialPrice () const |
initial price | |
bool | initialPriceIsInTargetCcy () const |
initial price is in target ccy (if applicable, i.e. if fxIndex != null, otherwise ignored) | |
Real | quantity () const |
Number of equity shares held. | |
Real | fxRate () const |
FX conversion rate (or 1.0 if not applicable) | |
Date | fixingDate () const |
This function is called for other coupon types. | |
Real | legInitialNotional () const |
Initial notional of the equity leg, to compute quantity if not provided in the resetting case. | |
Date | legFixingDate () const |
Fixing date of the first equity coupon, to compute quantity if not provided in the resetting case. | |
Observer interface | |
void | update () override |
Visitability | |
boost::shared_ptr< EquityCouponPricer > | pricer_ |
Natural | fixingDays_ |
boost::shared_ptr< QuantExt::EquityIndex2 > | equityCurve_ |
DayCounter | dayCounter_ |
EquityReturnType | returnType_ |
Real | dividendFactor_ |
bool | notionalReset_ |
Real | initialPrice_ |
bool | initialPriceIsInTargetCcy_ |
Real | quantity_ |
Date | fixingStartDate_ |
Date | fixingEndDate_ |
Natural | paymentLag_ |
boost::shared_ptr< FxIndex > | fxIndex_ |
Real | legInitialNotional_ |
Date | legFixingDate_ |
virtual void | accept (AcyclicVisitor &) override |
void | setPricer (const boost::shared_ptr< EquityCouponPricer > &) |
boost::shared_ptr< EquityCouponPricer > | pricer () const |
equity coupon