Class implements the bond paying floating coupon. More...

#include <floatingRateBond.hpp>

Inheritance diagram for julian::FloatingRateBond:

Public Member Functions
	FloatingRateBond ()
	Default Constructor. More...

	FloatingRateBond (Date issue_date, Date maturity_date, double principal, double margin, InterestRate rate, CashFlowVector cash_flows, Frequency payment_frequency)
	Constructor. More...

virtual	~FloatingRateBond ()
	deconstructor More...

Bond interface
virtual void	valuation (const SmartPointer< ir::Curve > &curve) const override
	bond valuation More...

virtual void	valuation (const SmartPointer< ir::Curve > &discounting_curve, const SmartPointer< ir::Curve > &projection_curve) const override
	bond valuation More...

virtual double	prize (const SmartPointer< ir::Curve > &curve) const override
	prize bond More...

virtual double	prize (const SmartPointer< ir::Curve > &curve, const SmartPointer< ir::Curve > &) const override
	prize bond More...

virtual double	getPrincipal () const override
	returns the bond's principal More...

virtual Date	getDate () const override
	returns the bond's maturity More...

virtual FloatingRateBond *	clone () const
	virtual copy constructor More...

Public Member Functions inherited from julian::Bond
	Bond ()
	constructor More...

virtual	~Bond ()
	destructor More...

Private Attributes
Date	issue_date_
	Bond's issue date. More...

Date	maturity_date_
	Date of repaying original sum loaned. More...

double	principal_
	Principal of bond. More...

double	margin_
	Margin added to cash flows. More...

InterestRate	rate_
	Interest rate convention. More...

CashFlowVector	cash_flows_
	Cash Flow Vector containing julian::FloatingCashFlow. More...

Frequency	payment_frequency_
	Frequency of coupon payment. More...

Friends
std::ostream &	operator<< (std::ostream &, FloatingRateBond &)
	Overloads stream operator. More...

Detailed Description

Class implements the bond paying floating coupon.

Floating rate bond is represented by julian::CashFlowVector containing FloatingCashFlow. Other data is provided just for information purposes only.

More information see [6]

Examples:: bondsExample.cpp.

Constructor & Destructor Documentation

julian::FloatingRateBond::FloatingRateBond ( )

inline

Default Constructor.

julian::FloatingRateBond::FloatingRateBond	(	Date	issue_date,
		Date	maturity_date,
		double	principal,
		double	margin,
		InterestRate	rate,
		CashFlowVector	cash_flows,
		Frequency	payment_frequency
	)

inline

Constructor.

virtual julian::FloatingRateBond::~FloatingRateBond ( )

inlinevirtual

deconstructor

Member Function Documentation

FloatingRateBond * julian::FloatingRateBond::clone ( ) const

virtual

virtual copy constructor

Implements julian::Bond.

Date julian::FloatingRateBond::getDate ( ) const

overridevirtual

returns the bond's maturity

Implements julian::Bond.

double julian::FloatingRateBond::getPrincipal ( ) const

overridevirtual

returns the bond's principal

Implements julian::Bond.

double julian::FloatingRateBond::prize ( const SmartPointer< ir::Curve > & curve ) const

overridevirtual

prize bond

Parameters

curve Interest rate curve used to discount CFs

Returns: price of bonds

Implements julian::Bond.

double julian::FloatingRateBond::prize	(	const SmartPointer< ir::Curve > &	discounting_curve,
		const SmartPointer< ir::Curve > &	projection_curve
	)		const

overridevirtual

prize bond

Parameters

discounting_curve	Interest rate curve used to discount CFs
projection_curve	Interest rate curve used to estimate CFs

Returns: price of bonds

Implements julian::Bond.

void julian::FloatingRateBond::valuation ( const SmartPointer< ir::Curve > & curve ) const

overridevirtual

bond valuation

Parameters

curve Interest rate curve used to discount CFs

Implements julian::Bond.

Examples:: bondsExample.cpp.

void julian::FloatingRateBond::valuation	(	const SmartPointer< ir::Curve > &	discounting_curve,
		const SmartPointer< ir::Curve > &	projection_curve
	)		const

overridevirtual

bond valuation

Parameters

discounting_curve	Interest rate curve used to discount CFs
projection_curve	Interest rate curve used to project future CFs

Implements julian::Bond.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		FloatingRateBond &	b
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

CashFlowVector julian::FloatingRateBond::cash_flows_

private

Cash Flow Vector containing julian::FloatingCashFlow.

Date julian::FloatingRateBond::issue_date_

private

Bond's issue date.

double julian::FloatingRateBond::margin_

private

Margin added to cash flows.

Date julian::FloatingRateBond::maturity_date_

private

Date of repaying original sum loaned.

Frequency julian::FloatingRateBond::payment_frequency_

private

Frequency of coupon payment.

double julian::FloatingRateBond::principal_

private

Principal of bond.

InterestRate julian::FloatingRateBond::rate_

private

Interest rate convention.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/instruments/bonds/floatingRateBond.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/bonds/floatingRateBond.cpp

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation