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Class CmsCoupon

CMS 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.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • new CmsCoupon(paymentDate: Date, nominal: Real, startDate: Date, endDate: Date, fixingDays: Natural, swapIndex: SwapIndex, gearing?: Real, spread?: Spread, refPeriodStart?: Date, refPeriodEnd?: Date, dayCounter?: DayCounter, isInArrears?: boolean): CmsCoupon

  • Parameters

    • paymentDate: Date
    • nominal: Real
    • startDate: Date
    • endDate: Date
    • fixingDays: Natural
    • swapIndex: SwapIndex
    • Default value gearing: Real = 1
    • Default value spread: Spread = 0
    • Default value refPeriodStart: Date = null
    • Default value refPeriodEnd: Date = null
    • Default value dayCounter: DayCounter = new DayCounter()
    • Default value isInArrears: boolean = false

    Returns CmsCoupon

Properties

_accrualEndDate

_accrualEndDate: Date

_accrualPeriod

_accrualPeriod: Real

_accrualStartDate

_accrualStartDate: Date

Protected _dayCounter

_dayCounter: DayCounter

_exCouponDate

_exCouponDate: Date

Protected _fixingDays

_fixingDays: Natural

Protected _gearing

_gearing: Real

Protected _index

_index: InterestRateIndex

_isDisposed

_isDisposed: boolean = false

Protected _isInArrears

_isInArrears: boolean

_nominal

_nominal: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_paymentDate

_paymentDate: Date

Protected _pricer

_pricer: FloatingRateCouponPricer

_refPeriodEnd

_refPeriodEnd: Date

_refPeriodStart

_refPeriodStart: Date

Protected _spread

_spread: Spread

Private _swapIndex

_swapIndex: SwapIndex

Protected _swapletRate

_swapletRate: Real

accrualDays

accrualDays: () => Integer

Type declaration

accrualEndDate

accrualEndDate: () => Date

Type declaration

    • (): Date

    • Returns Date

accrualPeriod

accrualPeriod: () => Time

Type declaration

accrualStartDate

accrualStartDate: () => Date

Type declaration

    • (): Date

    • Returns Date

accruedDays

accruedDays: (d: Date) => Integer

Type declaration

accruedPeriod

accruedPeriod: (d: Date) => Time

Type declaration

    • Parameters

      • d: Date

      Returns Time

date

date: () => Date

Type declaration

    • (): Date

    • Returns Date

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

exCouponDate

exCouponDate: () => Date

Type declaration

    • (): Date

    • Returns Date

hasOccurred

hasOccurred: (refDate: Date, includeRefDate: boolean) => boolean

Type declaration

    • (refDate: Date, includeRefDate: boolean): boolean

    • Parameters

      • refDate: Date
      • includeRefDate: boolean

      Returns boolean

init

init: (paymentDate: Date, nominal: Real, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart?: Date, refPeriodEnd?: Date, exCouponDate?: Date) => Coupon

Type declaration

    • (paymentDate: Date, nominal: Real, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart?: Date, refPeriodEnd?: Date, exCouponDate?: Date): Coupon

    • Parameters

      • paymentDate: Date
      • nominal: Real
      • accrualStartDate: Date
      • accrualEndDate: Date
      • Optional refPeriodStart: Date
      • Optional refPeriodEnd: Date
      • Optional exCouponDate: Date

      Returns Coupon

isDisposed

isDisposed: boolean

nominal

nominal: () => Real

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

referencePeriodEnd

referencePeriodEnd: () => Date

Type declaration

    • (): Date

    • Returns Date

referencePeriodStart

referencePeriodStart: () => Date

Type declaration

    • (): Date

    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

tradingExCoupon

tradingExCoupon: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

accept

accruedAmount

  • accruedAmount(d: Date): Real

adjustedFixing

  • adjustedFixing(): Rate

amount1

convexityAdjustment

  • convexityAdjustment(): Rate

Protected convexityAdjustmentImpl

  • convexityAdjustmentImpl(fixing: Rate): Rate

dayCounter

fixingDate

  • fixingDate(): Date

fixingDays

gearing

  • index gearing, i.e. multiplicative coefficient for the index

    Returns Real

index

indexFixing

  • indexFixing(): Rate

isInArrears

  • isInArrears(): boolean

  • whether or not the coupon fixes in arrears

    Returns boolean

price

pricer

rate

setPricer

spread

  • spread paid over the fixing of the underlying index

    Returns Spread

swapIndex

  • Returns SwapIndex

update

  • update(): void