1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: FloatingCatBond Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_floating_cat_bond.html">FloatingCatBond</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_floating_cat_bond-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">FloatingCatBond Class Reference<div class="ingroups"><a class="el" href="group__instruments.html">Financial instruments</a></div></div> </div>
</div><!--header-->
<div class="contents">
<p>floating-rate cat bond (possibly capped and/or floored)
<a href="class_quant_lib_1_1_floating_cat_bond.html#details">More...</a></p>
<p><code>#include <ql/experimental/catbonds/catbond.hpp></code></p>
<p>Inherits CatBond.</p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a9bc4ad88d8170f7d3a7b4d65591aa51c"><td class="memItemLeft" align="right" valign="top"><a id="a9bc4ad88d8170f7d3a7b4d65591aa51c"></a>
 </td><td class="memItemRight" valign="bottom"><b>FloatingCatBond</b> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> faceAmount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &schedule, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> paymentConvention=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> fixingDays=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> >(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &gearings=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(1, 1.0), const std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> > &spreads=std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> >(1, 0.0), const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &caps=std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >(), const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &floors=std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >(), bool inArrears=false, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_bond.html#ace4220e0564e09876f2b237795317f99">redemption</a>=100.0, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &issueDate=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>())</td></tr>
<tr class="separator:a9bc4ad88d8170f7d3a7b4d65591aa51c"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a91f0afb68d2ce061ac63f5a82aba290b"><td class="memItemLeft" align="right" valign="top"><a id="a91f0afb68d2ce061ac63f5a82aba290b"></a>
 </td><td class="memItemRight" valign="bottom"><b>FloatingCatBond</b> (<a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> settlementDays, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> faceAmount, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &startDate, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturityDate, <a class="el" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada">Frequency</a> couponFrequency, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &accrualDayCounter, const ext::shared_ptr< NotionalRisk > &notionalRisk, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> accrualConvention=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> paymentConvention=<a class="el" href="group__datetime.html#ggaff46c5ae9385d20709bedade86edd368ab6a37af780aa2b97f8bbdc4d149dae18">Following</a>, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> fixingDays=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> >(), const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &gearings=std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >(1, 1.0), const std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> > &spreads=std::vector< <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> >(1, 0.0), const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &caps=std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >(), const std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> > &floors=std::vector< <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> >(), bool inArrears=false, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_bond.html#ace4220e0564e09876f2b237795317f99">redemption</a>=100.0, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &issueDate=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &stubDate=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), <a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78">DateGeneration::Rule</a> rule=<a class="el" href="struct_quant_lib_1_1_date_generation.html#a11fcd51ef86118f65e603c1474377a78a67e19347f85332c3bbfd61266cecbe4e">DateGeneration::Backward</a>, bool endOfMonth=false)</td></tr>
<tr class="separator:a91f0afb68d2ce061ac63f5a82aba290b"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>floating-rate cat bond (possibly capped and/or floored) </p>
<dl class="test"><dt><b><a class="el" href="test.html#_test000008">Tests:</a></b></dt><dd>calculations are tested by checking results against cached values. </dd></dl>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
