SubPeriodsCoupon1 Class Reference

Sub-periods coupon. More...

#include <qle/cashflows/subperiodscoupon.hpp>

Inheritance diagram for SubPeriodsCoupon1:

Public Types
enum	Type { Averaging , Compounding }

Public Member Functions
	SubPeriodsCoupon1 (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const QuantLib::ext::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
const Date &	fixingEndDate () const
	End of the deposit period underlying the last coupon fixing.

Visitability
void	accept (AcyclicVisitor &) override

Detailed Description

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