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Class InflationCoupon

Base inflation-coupon class

The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.

note

inflation indices do not contain day counters or calendars.

Hierarchy

Implements

Index

Properties

Methods

Properties

_accrualEndDate

_accrualEndDate: Date

_accrualPeriod

_accrualPeriod: Real

_accrualStartDate

_accrualStartDate: Date

Protected _dayCounter

_dayCounter: DayCounter

_exCouponDate

_exCouponDate: Date

Protected _fixingDays

_fixingDays: Natural

Protected _index

_index: InflationIndex

_isDisposed

_isDisposed: boolean = false

_nominal

_nominal: Real

_observables

_observables: Set<Observable> = new Set()

Protected _observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_paymentDate

_paymentDate: Date

Protected _pricer

_pricer: InflationCouponPricer

_refPeriodEnd

_refPeriodEnd: Date

_refPeriodStart

_refPeriodStart: Date

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

amount1

Protected checkPricerImpl

  • makes sure you were given the correct type of pricer this can also done in external pricer setter classes via accept/visit mechanism

    Parameters

    Returns boolean

dayCounter

fixingDate

  • fixingDate(): Date

  • Returns Date

fixingDays

  • Returns Natural

icInit

  • Parameters

    • paymentDate: Date
    • nominal: Real
    • startDate: Date
    • endDate: Date
    • fixingDays: Natural
    • index: InflationIndex
    • observationLag: Period
    • dayCounter: DayCounter
    • Default value refPeriodStart: Date = null
    • Default value refPeriodEnd: Date = null
    • Default value exCouponDate: Date = null

    Returns InflationCoupon

index

  • Returns InflationIndex

indexFixing

  • indexFixing(): Rate

  • Returns Rate

observationLag

  • Returns Period

price

pricer

rate

setPricer

update

  • update(): void