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Class YoYInflationCoupon

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 _gearing

_gearing: Real

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

Protected _spread

_spread: Spread

Private _yoyIndex

_yoyIndex: YoYInflationIndex

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

  • Returns Rate

amount1

Protected checkPricerImpl

dayCounter

fixingDate

  • fixingDate(): Date

fixingDays

gearing

  • Returns Real

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

indexFixing

  • indexFixing(): Rate

observationLag

price

pricer

rate

setPricer

spread

  • Returns Spread

update

  • update(): void

yoyIndex

yoyicInit

  • Parameters

    • paymentDate: Date
    • nominal: Real
    • startDate: Date
    • endDate: Date
    • fixingDays: Natural
    • yoyIndex: YoYInflationIndex
    • observationLag: Period
    • dayCounter: DayCounter
    • Default value gearing: Real = 1
    • Default value spread: Spread = 0
    • Default value refPeriodStart: Date = null
    • Default value refPeriodEnd: Date = null

    Returns YoYInflationCoupon