Class FxResetCoupon

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A floating-rate coupon of an FX-resetting leg.

[Experimental("NQL0001")]
public sealed class FxResetCoupon : FloatingRateCoupon

Inheritance

object

Event

CashFlow

Coupon

FloatingRateCoupon

FxResetCoupon

Inherited Members

FloatingRateCoupon.Price(YieldTermStructure, EvaluationContext)

FloatingRateCoupon.ConvexityAdjustment(EvaluationContext)

FloatingRateCoupon.AdjustedFixing(EvaluationContext)

FloatingRateCoupon.Index

FloatingRateCoupon.FixingDays

FloatingRateCoupon.Gearing

FloatingRateCoupon.Spread

FloatingRateCoupon.IsInArrears

FloatingRateCoupon.FixingConvention

FloatingRateCoupon.Pricer

FloatingRateCoupon.DayCounter

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()

Extension Methods

FloatingRateCouponExtensions.SetPricer<T>(T, FloatingRateCouponPricer?)

Remarks

The coupon wraps an underlying floating-rate coupon: its nominal is the constant leg's notional converted at the period's FX-reset observation, by its FX-reset pricer; its rate is the underlying's, and its amounts the underlying's rescaled to that nominal, which keeps the underlying's accrual logic, e.g. the partial-period compounding of an overnight-indexed coupon. ContractNominal is the underlying's.

Immutable, as every coupon is: SetFxResetPricer(FxResetPricer?) returns a copy holding the pricer, and a coupon pricer set through SetPricer<T>(T, FloatingRateCouponPricer?) is forwarded to a copy of the underlying, whose pricer drives the paid rate.

Constructors

FxResetCoupon(FloatingRateCoupon, double, FxReset)

Initializes a new instance of the FxResetCoupon class.

public FxResetCoupon(FloatingRateCoupon underlying, double constantLegNotional, FxReset fxReset)

Parameters

underlying FloatingRateCoupon

The underlying floating-rate coupon.

constantLegNotional double

The constant leg's notional, in its own currency.

fxReset FxReset

The FX-reset observation of the coupon's period.

Exceptions

ArgumentNullException

underlying is null.

ArgumentException

The underlying coupon's nominal is zero.

Properties

ConstantLegNotional

Gets the constant leg's notional, in its own currency.

public double ConstantLegNotional { get; }

Property Value

double

FxReset

Gets the FX-reset observation of the coupon's period.

public FxReset FxReset { get; }

Property Value

FxReset

FxResetDate

Gets the date on which the FX rate is observed.

public Date FxResetDate { get; }

Property Value

Date

FxResetPricer

Gets the FX-reset pricer, or null when none is set.

public FxResetPricer? FxResetPricer { get; }

Property Value

FxResetPricer

FxResetValueDate

Gets the settlement date of the FX observation.

public Date FxResetValueDate { get; }

Property Value

Date

Underlying

Gets the underlying floating-rate coupon.

public FloatingRateCoupon Underlying { get; }

Property Value

FloatingRateCoupon

Methods

AccruedAmount(Date, EvaluationContext)

The underlying coupon's accrued amount, rescaled to the FX-reset nominal.

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 underlying coupon's amount, rescaled to the FX-reset nominal.

public override double Amount(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The amount.

FixingDate()

The fixing date: the fixing days before the accrual start, or before the accrual end in arrears, on the index's fixing calendar.

public override Date FixingDate()

Returns

Date

The fixing date.

IndexFixing(EvaluationContext)

The index fixing on the coupon's fixing date.

public override double IndexFixing(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The fixing.

Nominal(EvaluationContext)

The nominal: the constant leg's notional converted at the observation's FX rate.

public override double Nominal(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context, which the FX-reset pricer reads.

Returns

double

The nominal.

Exceptions

NanoQLException

No FX-reset pricer is set.

Rate(EvaluationContext)

The coupon's rate: its pricer's swaplet rate.

public override double Rate(EvaluationContext context)

Parameters

context EvaluationContext

The evaluation context.

Returns

double

The rate.

Exceptions

NanoQLException

No pricer is set.

SetFxResetPricer(FxResetPricer?)

A copy of the coupon holding an FX-reset pricer: QuantLib's setFxResetPricer.

public FxResetCoupon SetFxResetPricer(FxResetPricer? pricer)

Parameters

pricer FxResetPricer

The pricer, or null for none.

Returns

FxResetCoupon

The copy; the receiver is unchanged.

WithPricer(FloatingRateCouponPricer?)

A copy of the coupon holding another pricer: SetPricer<T>(T, FloatingRateCouponPricer?)'s step, which QuantLib's setPricer does in place. The base's copy is memberwise; an override returns a copy of the same runtime type.

protected override FloatingRateCoupon WithPricer(FloatingRateCouponPricer? pricer)

Parameters

pricer FloatingRateCouponPricer

The pricer, or null for none.

Returns

FloatingRateCoupon

The copy.

Remarks

The pricer is forwarded to a copy of the underlying coupon, whose pricer drives the paid rate.