org.jquantlib.cashflow

Class AverageBMACoupon

java.lang.Object

org.jquantlib.cashflow.Event

org.jquantlib.cashflow.CashFlow

org.jquantlib.cashflow.Coupon

org.jquantlib.cashflow.FloatingRateCoupon

org.jquantlib.cashflow.AverageBMACoupon

All Implemented Interfaces:

java.lang.Comparable<CashFlow>, Observable, Observer, PolymorphicVisitable

public class AverageBMACoupon
extends FloatingRateCoupon

Average BMA coupon Coupon paying a BMA index, where the coupon rate is a weighted average of relevant fixings. The weighted average is computed based on the actual calendar days for which a given fixing is valid and contributing to the given interest period. Before weights are computed, the fixing schedule is adjusted for the index's fixing day gap. See rate() method for details.

Constructor Summary

Constructors

Constructor and Description
AverageBMACoupon(Date paymentDate, double nominal, Date startDate, Date endDate, BMAIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)
double	convexityAdjustment()
Date	fixingDate()
java.util.List<Date>	fixingDates()
double	indexFixing()
java.util.List<java.lang.Double>	indexFixings()

Methods inherited from class org.jquantlib.cashflow.FloatingRateCoupon

accruedAmount, adjustedFixing, amount, convexityAdjustmentImpl, dayCounter, fixingDays, gearing, index, isInArrears, price, pricer, rate, setPricer, spread, update

Methods inherited from class org.jquantlib.cashflow.Coupon

accrualDays, accrualEndDate, accrualPeriod, accrualStartDate, date, nominal, referencePeriodEnd, referencePeriodStart

Methods inherited from class org.jquantlib.cashflow.CashFlow

compareTo

Methods inherited from class org.jquantlib.cashflow.Event

addObserver, countObservers, deleteObserver, deleteObservers, getObservers, hasOccurred, hasOccurred, notifyObservers, notifyObservers

Methods inherited from class java.lang.Object

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

Constructor Detail

AverageBMACoupon

public AverageBMACoupon(Date paymentDate,
                        double nominal,
                        Date startDate,
                        Date endDate,
                        BMAIndex index,
                        double gearing,
                        double spread,
                        Date refPeriodStart,
                        Date refPeriodEnd,
                        DayCounter dayCounter)

Method Detail

fixingDate

public Date fixingDate()

Overrides:

fixingDate in class FloatingRateCoupon

fixingDates

public java.util.List<Date> fixingDates()

indexFixing

public double indexFixing()

Overrides:

indexFixing in class FloatingRateCoupon

indexFixings

public java.util.List<java.lang.Double> indexFixings()

convexityAdjustment

public double convexityAdjustment()

Overrides:

convexityAdjustment in class FloatingRateCoupon

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

Overrides:

accept in class FloatingRateCoupon

See Also:

PolymorphicVisitor#getVisitor(Class)