FloatingCatBond Class Reference

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

#include <ql/experimental/catbonds/catbond.hpp>

Inherits CatBond.

Public Member Functions
	FloatingCatBond (Natural settlementDays, Real faceAmount, const Schedule &schedule, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date())
	FloatingCatBond (Natural settlementDays, Real faceAmount, const Date &startDate, const Date &maturityDate, Frequency couponFrequency, const Calendar &calendar, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Date &stubDate=Date(), DateGeneration::Rule rule=DateGeneration::Backward, bool endOfMonth=false)

Detailed Description

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

Tests:

calculations are tested by checking results against cached values.