org.jquantlib.instruments.bonds

Class FloatingRateBond

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Bond

org.jquantlib.instruments.bonds.FloatingRateBond

All Implemented Interfaces:

Observable, Observer

public class FloatingRateBond
extends Bond

floating-rate bond (possibly capped and/or floored)

Nested Class Summary

Nested classes/interfaces inherited from class org.jquantlib.instruments.Bond

Bond.Arguments, Bond.ArgumentsImpl, Bond.Engine, Bond.EngineImpl, Bond.Results, Bond.ResultsImpl, Bond.YieldFinder

Constructor Summary

Constructors

Constructor and Description
FloatingRateBond(int settlementDays, double faceAmount, Date startDate, Date maturityDate, Frequency couponFrequency, Calendar calendar, Handle<IborIndex> index, DayCounter accrualDayCounter)
FloatingRateBond(int settlementDays, double faceAmount, Date startDate, Date maturityDate, Frequency couponFrequency, Calendar calendar, Handle<IborIndex> index, DayCounter accrualDayCounter, BusinessDayConvention accrualConvention, BusinessDayConvention paymentConvention, int fixingDays, Array gearings, Array spreads, Array caps, Array floors, boolean inArrears, double redemption, Date issueDate, Date stubDate, DateGeneration.Rule rule, boolean endOfMonth)
FloatingRateBond(int settlementDays, double faceAmount, Schedule schedule, IborIndex index, DayCounter accrualDayCounter)
FloatingRateBond(int settlementDays, double faceAmount, Schedule schedule, IborIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, int fixingDays, Array gearings, Array spreads, Array caps, Array floors, boolean inArrears, double redemption, Date issueDate)

Method Summary

Methods inherited from class org.jquantlib.instruments.Bond

accruedAmount, accruedAmount, calendar, cashflows, cleanPrice, cleanPrice, cleanPrice, cleanPriceFromZSpread, cleanPriceFromZSpread, dirtyPrice, dirtyPrice, dirtyPrice, dirtyPriceFromYield, dirtyPriceFromZSpread, dirtyPriceFromZSpread, faceAmount, isExpired, issueDate, maturityDate, nextCoupon, nextCoupon, notional, notional, notionals, previousCoupon, previousCoupon, redemption, redemptions, settlementDate, settlementDate, settlementDays, settlementValue, settlementValue, yield, yield, yield, yield, yield, yield

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

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

Constructor Detail

FloatingRateBond

public FloatingRateBond(int settlementDays,
                        double faceAmount,
                        Schedule schedule,
                        IborIndex index,
                        DayCounter paymentDayCounter,
                        BusinessDayConvention paymentConvention,
                        int fixingDays,
                        Array gearings,
                        Array spreads,
                        Array caps,
                        Array floors,
                        boolean inArrears,
                        double redemption,
                        Date issueDate)

FloatingRateBond

public FloatingRateBond(int settlementDays,
                        double faceAmount,
                        Schedule schedule,
                        IborIndex index,
                        DayCounter accrualDayCounter)

FloatingRateBond

public FloatingRateBond(int settlementDays,
                        double faceAmount,
                        Date startDate,
                        Date maturityDate,
                        Frequency couponFrequency,
                        Calendar calendar,
                        Handle<IborIndex> index,
                        DayCounter accrualDayCounter,
                        BusinessDayConvention accrualConvention,
                        BusinessDayConvention paymentConvention,
                        int fixingDays,
                        Array gearings,
                        Array spreads,
                        Array caps,
                        Array floors,
                        boolean inArrears,
                        double redemption,
                        Date issueDate,
                        Date stubDate,
                        DateGeneration.Rule rule,
                        boolean endOfMonth)

FloatingRateBond

public FloatingRateBond(int settlementDays,
                        double faceAmount,
                        Date startDate,
                        Date maturityDate,
                        Frequency couponFrequency,
                        Calendar calendar,
                        Handle<IborIndex> index,
                        DayCounter accrualDayCounter)