RangeAccrualFloatersCoupon

Hierarchy

FloatingRateCoupon
- RangeAccrualFloatersCoupon

Implements

Index

Constructors

constructor

Properties

Constructors

constructor

new RangeAccrualFloatersCoupon(paymentDate: Date, nominal: Real, index: IborIndex, startDate: Date, endDate: Date, fixingDays: Natural, dayCounter: DayCounter, gearing: Real, spread: Spread, refPeriodStart: Date, refPeriodEnd: Date, observationsSchedule: Schedule, lowerTrigger: Real, upperTrigger: Real): RangeAccrualFloatersCoupon

Overrides FloatingRateCoupon.constructor
- Defined in ql/cashflows/rangeaccrual.ts:33
Parameters
- paymentDate: Date
- nominal: Real
- index: IborIndex
- startDate: Date
- endDate: Date
- fixingDays: Natural
- dayCounter: DayCounter
- gearing: Real
- spread: Spread
- refPeriodStart: Date
- refPeriodEnd: Date
- observationsSchedule: Schedule
- lowerTrigger: Real
- upperTrigger: Real
Returns RangeAccrualFloatersCoupon

Properties

_accrualEndDate

_accrualEndDate: Date

_accrualPeriod

_accrualPeriod: Real

_accrualStartDate

_accrualStartDate: Date

Protected _dayCounter

_dayCounter: DayCounter

Private _endTime

_endTime: Real

_exCouponDate

_exCouponDate: Date

Protected _fixingDays

_fixingDays: Natural

Protected _gearing

_gearing: Real

Protected _index

_index: InterestRateIndex

_isDisposed

_isDisposed: boolean = false

Protected _isInArrears

_isInArrears: boolean

Private _lowerTrigger

_lowerTrigger: Real

_nominal

_nominal: Real

_observables

_observables: Set<Observable> = new Set()

Private _observationDates

_observationDates: Date[]

Private _observationTimes

_observationTimes: Real[] = []

Private _observationsNo

_observationsNo: Size

Private _observationsSchedule

_observationsSchedule: Schedule

_observers

_observers: Set<Observer> = new Set()

_paymentDate

_paymentDate: Date

Protected _pricer

_pricer: FloatingRateCouponPricer

_refPeriodEnd

_refPeriodEnd: Date

_refPeriodStart

_refPeriodStart: Date

Protected _spread

_spread: Spread

Private _startTime

_startTime: Real

Protected _swapletRate

_swapletRate: Real

Private _upperTrigger

_upperTrigger: Real

accrualDays

accrualDays: () => Integer

Type declaration

- (): Integer
- Returns Integer

accrualEndDate

accrualEndDate: () => Date

Type declaration

- (): Date
- Returns Date

accrualPeriod

accrualPeriod: () => Time

Type declaration

- (): Time
- Returns Time

accrualStartDate

accrualStartDate: () => Date

Type declaration

- (): Date
- Returns Date

accruedDays

accruedDays: (d: Date) => Integer

Type declaration

- (d: Date): Integer
- Parameters
  - d: Date
  Returns Integer

accruedPeriod

accruedPeriod: (d: Date) => Time

Type declaration

- (d: Date): Time
- 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

- (): Real
- Returns Real

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

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

tradingExCoupon

tradingExCoupon: () => boolean

Type declaration

- (): boolean
- Returns boolean

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

Methods

accept

accept(v: AcyclicVisitor): void

Overrides FloatingRateCoupon.accept
- Defined in ql/cashflows/rangeaccrual.ts:112
Parameters
- v: AcyclicVisitor
Returns void

accruedAmount

accruedAmount(d: Date): Real

Inherited from FloatingRateCoupon.accruedAmount

Overrides CouponObserver.accruedAmount
- Defined in ql/cashflows/floatingratecoupon.ts:73
Parameters
- d: Date
Returns Real

adjustedFixing

adjustedFixing(): Rate

Inherited from FloatingRateCoupon.adjustedFixing
- Defined in ql/cashflows/floatingratecoupon.ts:122
convexity-adjusted fixing

Returns Rate

amount1

amount1(): Real

Inherited from FloatingRateCoupon.amount1

Overrides CouponObserver.amount1
- Defined in ql/cashflows/floatingratecoupon.ts:52
Returns Real

convexityAdjustment

convexityAdjustment(): Rate

Inherited from FloatingRateCoupon.convexityAdjustment
- Defined in ql/cashflows/floatingratecoupon.ts:117
Returns Rate

Protected convexityAdjustmentImpl

convexityAdjustmentImpl(fixing: Rate): Rate

Inherited from FloatingRateCoupon.convexityAdjustmentImpl
- Defined in ql/cashflows/floatingratecoupon.ts:163
convexity adjustment for the given index fixing

Parameters
- fixing: Rate
Returns Rate

dayCounter

dayCounter(): DayCounter

Inherited from FloatingRateCoupon.dayCounter

Overrides CouponObserver.dayCounter
- Defined in ql/cashflows/floatingratecoupon.ts:69
Returns DayCounter

endTime

endTime(): Real

- Defined in ql/cashflows/rangeaccrual.ts:78
Returns Real

fixingDate

fixingDate(): Date

Inherited from FloatingRateCoupon.fixingDate
- Defined in ql/cashflows/floatingratecoupon.ts:93
Returns Date

fixingDays

fixingDays(): Natural

Inherited from FloatingRateCoupon.fixingDays
- Defined in ql/cashflows/floatingratecoupon.ts:89
Returns Natural

gearing

gearing(): Real

Inherited from FloatingRateCoupon.gearing
- Defined in ql/cashflows/floatingratecoupon.ts:103
index gearing, i.e. multiplicative coefficient for the index

Returns Real

index

index(): InterestRateIndex

Inherited from FloatingRateCoupon.index
- Defined in ql/cashflows/floatingratecoupon.ts:85
Returns InterestRateIndex

indexFixing

indexFixing(): Rate

Inherited from FloatingRateCoupon.indexFixing
- Defined in ql/cashflows/floatingratecoupon.ts:113
fixing of the underlying index

Returns Rate

isInArrears

isInArrears(): boolean

Inherited from FloatingRateCoupon.isInArrears
- Defined in ql/cashflows/floatingratecoupon.ts:127
whether or not the coupon fixes in arrears

Returns boolean

lowerTrigger

lowerTrigger(): Real

- Defined in ql/cashflows/rangeaccrual.ts:82
Returns Real

observationDates

observationDates(): Date[]

- Defined in ql/cashflows/rangeaccrual.ts:94
Returns Date[]

observationTimes

observationTimes(): Real[]

- Defined in ql/cashflows/rangeaccrual.ts:98
Returns Real[]

observationsNo

observationsNo(): Size

- Defined in ql/cashflows/rangeaccrual.ts:90
Returns Size

observationsSchedule

observationsSchedule(): Schedule

- Defined in ql/cashflows/rangeaccrual.ts:102
Returns Schedule

price

price(discountingCurve: Handle<YieldTermStructure>): Real

Inherited from FloatingRateCoupon.price
- Defined in ql/cashflows/floatingratecoupon.ts:64
Parameters
- discountingCurve: Handle<YieldTermStructure>
Returns Real

priceWithoutOptionality

priceWithoutOptionality(discountCurve: Handle<YieldTermStructure>): Real

- Defined in ql/cashflows/rangeaccrual.ts:106
Parameters
- discountCurve: Handle<YieldTermStructure>
Returns Real

pricer

pricer(): FloatingRateCouponPricer

Inherited from FloatingRateCoupon.pricer
- Defined in ql/cashflows/floatingratecoupon.ts:158
Returns FloatingRateCouponPricer

rate

rate(): Rate

Inherited from FloatingRateCoupon.rate

Overrides CouponObserver.rate
- Defined in ql/cashflows/floatingratecoupon.ts:56
Returns Rate

setPricer

setPricer(pricer: FloatingRateCouponPricer): void

Inherited from FloatingRateCoupon.setPricer
- Defined in ql/cashflows/floatingratecoupon.ts:147
Parameters
- pricer: FloatingRateCouponPricer
Returns void

spread

spread(): Spread

Inherited from FloatingRateCoupon.spread
- Defined in ql/cashflows/floatingratecoupon.ts:108
spread paid over the fixing of the underlying index

Returns Spread

startTime

startTime(): Real

- Defined in ql/cashflows/rangeaccrual.ts:74
Returns Real

update

update(): void

Inherited from FloatingRateCoupon.update

Overrides CouponObserver.update
- Defined in ql/cashflows/floatingratecoupon.ts:131
Returns void

upperTrigger

upperTrigger(): Real

- Defined in ql/cashflows/rangeaccrual.ts:86
Returns Real

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

paymentDate: Date

nominal: Real

index: IborIndex

startDate: Date

endDate: Date

fixingDays: Natural

dayCounter: DayCounter

gearing: Real

spread: Spread

refPeriodStart: Date

refPeriodEnd: Date

observationsSchedule: Schedule

lowerTrigger: Real

upperTrigger: Real

Returns RangeAccrualFloatersCoupon

Properties

_accrualEndDate

_accrualPeriod

_accrualStartDate

Protected _dayCounter

Private _endTime

_exCouponDate

Protected _fixingDays

Protected _gearing

Protected _index

_isDisposed

Protected _isInArrears

Private _lowerTrigger

_nominal

_observables

Private _observationDates

Private _observationTimes

Private _observationsNo

Private _observationsSchedule

_observers

_paymentDate

Protected _pricer

_refPeriodEnd

_refPeriodStart

Protected _spread

Private _startTime

Protected _swapletRate

Private _upperTrigger

accrualDays

Type declaration

Returns Integer

accrualEndDate

Type declaration

Returns Date

accrualPeriod

Type declaration

Returns Time

accrualStartDate

Type declaration

Returns Date

accruedDays

Type declaration

Parameters

d: Date

Returns Integer

accruedPeriod

Type declaration

Parameters

d: Date

Returns Time

date

Type declaration

Returns Date

deepUpdate

Type declaration

Returns void