Sub-periods coupon. More...
#include <qle/cashflows/subperiodscoupon.hpp>
Public Types | |
enum | Type { Averaging , Compounding } |
Public Member Functions | |
SubPeriodsCoupon1 (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< InterestRateIndex > &index, Type type, BusinessDayConvention convention, Spread spread=0.0, const DayCounter &dayCounter=DayCounter(), bool includeSpread=false, Real gearing=1.0) | |
Inspectors | |
const std::vector< Date > & | fixingDates () const |
fixing dates for the sub-periods | |
const std::vector< Time > & | accrualFractions () const |
accrual periods for the sub-periods | |
const std::vector< Rate > & | indexFixings () const |
fixings for the sub-periods | |
const std::vector< Date > & | valueDates () const |
value dates for the sub-periods | |
Type | type () const |
whether sub-period fixings are averaged or compounded | |
bool | includeSpread () const |
whether to include/exclude spread in compounding/averaging | |
Spread | spread () const |
Need to be able to change spread to solve for fair spread. | |
Spread & | spread () |
FloatingRateCoupon interface | |
Date | fixingDate () const override |
the date when the coupon is fully determined | |
Visitability | |
void | accept (AcyclicVisitor &) override |
Sub-periods coupon.
The coupon period tenor is a multiple of the tenor associated with the index. The index tenor divides the coupon period into sub-periods. The index fixing for each sub-period is compounded or averaged over the full coupon period.
\ingroup cashflows \todo merge into QuantLib