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
	Unused.
double	current_index
	Unused.
BusinessDayConvention::type	business_day_convention
	Business day convention for payment date.

Constructor & Destructor Documentation

CouponTerms()

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

inline

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

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

• include/andrew_kalotay_associates/common/structs.h