com.github.vonrosen.quantlib

Class FloatingRateCoupon

java.lang.Object

com.github.vonrosen.quantlib.CashFlow

com.github.vonrosen.quantlib.Coupon

com.github.vonrosen.quantlib.FloatingRateCoupon

Direct Known Subclasses:

CappedFlooredCoupon, CmsCoupon, IborCoupon

public class FloatingRateCoupon
extends Coupon

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.CashFlow

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	FloatingRateCoupon(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
double	adjustedFixing()
double	convexityAdjustment()
void	delete()
protected void	finalize()
Date	fixingDate()
int	fixingDays()
double	gearing()
protected static long	getCPtr(FloatingRateCoupon obj)
InterestRateIndex	index()
double	indexFixing()
boolean	isInArrears()
double	price(YieldTermStructureHandle discountCurve)
void	setPricer(FloatingRateCouponPricer p)
double	spread()

Methods inherited from class com.github.vonrosen.quantlib.Coupon

accrualDays, accrualEndDate, accrualPeriod, accrualStartDate, accruedAmount, dayCounter, exCouponDate, getCPtr, nominal, rate, referencePeriodEnd, referencePeriodStart

Methods inherited from class com.github.vonrosen.quantlib.CashFlow

__deref__, amount, asObservable, date, getCPtr, isNull

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FloatingRateCoupon

protected FloatingRateCoupon(long cPtr,
                             boolean cMemoryOwn)

Method Detail

getCPtr

protected static long getCPtr(FloatingRateCoupon obj)

finalize

protected void finalize()

Overrides:

finalize in class Coupon

delete

public void delete()

Overrides:

delete in class Coupon

fixingDate

public Date fixingDate()

fixingDays

public int fixingDays()

isInArrears

public boolean isInArrears()

gearing

public double gearing()

spread

public double spread()

indexFixing

public double indexFixing()

adjustedFixing

public double adjustedFixing()

convexityAdjustment

public double convexityAdjustment()

price

public double price(YieldTermStructureHandle discountCurve)

index

public InterestRateIndex index()

setPricer

public void setPricer(FloatingRateCouponPricer p)