org.jquantlib.cashflow

Class FloatingRateCoupon

java.lang.Object

org.jquantlib.cashflow.Event

org.jquantlib.cashflow.CashFlow

org.jquantlib.cashflow.Coupon

org.jquantlib.cashflow.FloatingRateCoupon

All Implemented Interfaces:

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

Direct Known Subclasses:

AverageBMACoupon, CappedFlooredCoupon, CmsCoupon, IborCoupon

public class FloatingRateCoupon
extends Coupon
implements Observer

Constructor Summary

Constructors

Constructor and Description
FloatingRateCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, InterestRateIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, boolean isInArrears)

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	accruedAmount(Date d)
double	adjustedFixing()
double	amount()
double	convexityAdjustment()
double	convexityAdjustmentImpl(double f)
DayCounter	dayCounter()
Date	fixingDate()
int	fixingDays()
double	gearing()
InterestRateIndex	index()
double	indexFixing()
boolean	isInArrears()
double	price(Handle<YieldTermStructure> yts)
FloatingRateCouponPricer	pricer()
double	rate()
void	setPricer(FloatingRateCouponPricer pricer)
double	spread()
void	update() This method is called whenever the observed object is changed.

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

FloatingRateCoupon

public FloatingRateCoupon(Date paymentDate,
                          double nominal,
                          Date startDate,
                          Date endDate,
                          int fixingDays,
                          InterestRateIndex index,
                          double gearing,
                          double spread,
                          Date refPeriodStart,
                          Date refPeriodEnd,
                          DayCounter dayCounter,
                          boolean isInArrears)

Method Detail

setPricer

public void setPricer(FloatingRateCouponPricer pricer)

pricer

public FloatingRateCouponPricer pricer()

amount

public double amount()

Specified by:

amount in class CashFlow

Returns:

amount of the cash flow. The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

accruedAmount

public double accruedAmount(Date d)

Specified by:

accruedAmount in class Coupon

price

public double price(Handle<YieldTermStructure> yts)

dayCounter

public DayCounter dayCounter()

Specified by:

dayCounter in class Coupon

index

public InterestRateIndex index()

fixingDays

public int fixingDays()

fixingDate

public Date fixingDate()

gearing

public double gearing()

spread

public double spread()

indexFixing

public double indexFixing()

rate

public double rate()

Specified by:

rate in class Coupon

adjustedFixing

public double adjustedFixing()

isInArrears

public boolean isInArrears()

convexityAdjustmentImpl

public double convexityAdjustmentImpl(double f)

convexityAdjustment

public double convexityAdjustment()

update

public void update()

Description copied from interface: Observer

This method is called whenever the observed object is changed.

Specified by:

update in interface Observer

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 Coupon

See Also:

PolymorphicVisitor#getVisitor(Class)