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

Public Member Functions

 CouponTerms ()

Public Attributes

long ex_coupon_days
Daycount::type daycount
 Daycount used to calculate cash flow from interest rate.
CalendarFrequency::type reset_frequency
 If floating, how often is the index reset.
CalendarFrequency::type payment_frequency
 How often is the coupon paid.
bool end_of_month
bool in_arrears
Date last_reset_date
double current_index
BusinessDayConvention::type business_day_convention
 Business day convention for payment date.

Constructor & Destructor Documentation

◆ CouponTerms()

AndrewKalotayAssociates::Common::Input::CouponTerms::CouponTerms ( )

Default constructor sets ex_coupon_days to 0, daycount to 30/360, reset and payment frequencies to semiannual, end_of_month and in_arrears to false, and current_index to zero, and business_day_convention to unadjusted

Member Data Documentation

◆ end_of_month

bool AndrewKalotayAssociates::Common::Input::CouponTerms::end_of_month

If true, a payment date on the 30th is shifted to end of month and a payment date on the 28th of February is shifted to end of month

◆ in_arrears

bool AndrewKalotayAssociates::Common::Input::CouponTerms::in_arrears

If set to true and coupon is floating, cash flow is computed using the value of the index at the end of the reset period instead of at the start of the reset period

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