Class FixedRateCoupon

Namespace

NanoQL.Coupons

Assembly

NanoQL.dll

A coupon paying a fixed interest rate.

public sealed class FixedRateCoupon : Coupon

Inheritance

object

Event

CashFlow

Coupon

FixedRateCoupon

Inherited Members

Coupon.Nominal(EvaluationContext)

Coupon.AccrualPeriod()

Coupon.AccrualDays()

Coupon.AccruedPeriod(Date)

Coupon.AccruedDays(Date)

Coupon.Date

Coupon.ExCouponDate

Coupon.AccrualStartDate

Coupon.AccrualEndDate

Coupon.ReferencePeriodStart

Coupon.ReferencePeriodEnd

Coupon.ContractNominal

CashFlow.HasOccurred(EvaluationContext, Date?, bool?)

CashFlow.TradingExCoupon(EvaluationContext, Date?)

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The amount is computed on each call, in place of QuantLib's cached lazy calculation.

Constructors

FixedRateCoupon(Date, double, InterestRate, Date, Date, Date?, Date?, Date?)

Initializes a new instance of the FixedRateCoupon class from an interest rate.

public FixedRateCoupon(Date paymentDate, double nominal, InterestRate interestRate, Date accrualStartDate, Date accrualEndDate, Date? refPeriodStart = null, Date? refPeriodEnd = null, Date? exCouponDate = null)

Parameters

paymentDate Date

The payment date, which must already be a business day.

nominal double

The nominal.

interestRate InterestRate

The interest rate, with its day counter and compounding.

accrualStartDate Date

The start of the accrual period.

accrualEndDate Date

The end of the accrual period.

refPeriodStart Date?

The reference period's start; the accrual start when null.

refPeriodEnd Date?

The reference period's end; the accrual end when null.

exCouponDate Date?

The ex-coupon date, if any.

FixedRateCoupon(Date, double, double, DayCounter, Date, Date, Date?, Date?, Date?)

Initializes a new instance of the FixedRateCoupon class from a simple annual rate.

public FixedRateCoupon(Date paymentDate, double nominal, double rate, DayCounter dayCounter, Date accrualStartDate, Date accrualEndDate, Date? refPeriodStart = null, Date? refPeriodEnd = null, Date? exCouponDate = null)

Parameters

paymentDate Date

The payment date, which must already be a business day.

nominal double

The nominal.

rate double

The rate, simply compounded and annual.

dayCounter DayCounter

The day counter.

accrualStartDate Date

The start of the accrual period.

accrualEndDate Date

The end of the accrual period.

refPeriodStart Date?

The reference period's start; the accrual start when null.

refPeriodEnd Date?

The reference period's end; the accrual end when null.

exCouponDate Date?

The ex-coupon date, if any.

Properties

DayCounter

Gets the day counter used for accrual.

public override DayCounter DayCounter { get; }

Property Value

DayCounter

InterestRate

Gets the interest rate.

public InterestRate InterestRate { get; }

Property Value

InterestRate

Methods

AccruedAmount(Date, EvaluationContext)

The amount accrued up to a date.

public override double AccruedAmount(Date d, EvaluationContext context)

Parameters

d Date

The date.

context EvaluationContext

The evaluation context.

Returns

double

The accrued amount.

Amount(EvaluationContext)

The amount of the cash flow, not discounted: the amount paid at the cash-flow date.

public override double Amount(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context, which a cash flow whose amount depends on fixings or the evaluation date reads; one that knows its amount checks it and reads nothing.

Returns

double

The amount.

Rate(EvaluationContext)

The coupon's rate.

public override double Rate(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The rate.