TipsVal
Valuation library for inflation-indexed bonds
Public Types | Public Member Functions | Public Attributes | List of all members
AndrewKalotayAssociates::Common::Input::CouponParameters Struct Reference

Public Types

enum  type_type { standard = 0 , range_accrual = 1 }
 

Public Member Functions

 CouponParameters ()
 Default constructor assumes fixed coupon with rate equal to zero.
 
 CouponParameters (const Date &input_start, double input_fixed_interest, double input_index_factor=0, type_type input_type=standard, double input_floor=0, double input_cap=0)
 

Public Attributes

Date start
 
double fixed_interest
 
type_type type
 
double index_factor
 
double floor
 
double cap
 

Member Data Documentation

◆ cap

double AndrewKalotayAssociates::Common::Input::CouponParameters::cap

If fixed or standard floater, leave at default value of 0. If capped or range floater, set to cap

◆ fixed_interest

double AndrewKalotayAssociates::Common::Input::CouponParameters::fixed_interest

If coupon is fixed or stepped, then the coupon rate. If coupon is floating, then the spread to the index. Specified as an absolute rate, so 0.10 means an annualized rate of 10%

◆ floor

double AndrewKalotayAssociates::Common::Input::CouponParameters::floor

If fixed or standard floater, leave at default value of 0. If floored or range floater, set to floor

◆ index_factor

double AndrewKalotayAssociates::Common::Input::CouponParameters::index_factor

If fixed, set to zero. If floating, set to 1.0

◆ type

type_type AndrewKalotayAssociates::Common::Input::CouponParameters::type

Enum specifying whether coupon is standard or range accrual. Since range accruals do not exist anymore, this should be left at the default value of standard


The documentation for this struct was generated from the following file: