Class FaceValueAccrualClaim

A claim on the notional of a reference security, including its accrual.

public sealed class FaceValueAccrualClaim : Claim

Inherited Members: object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

Initializes a new instance of the FaceValueAccrualClaim class.

public FaceValueAccrualClaim(Bond referenceSecurity)

The amount claimed: notional (1 - recoveryRate - accrual), the accrual being the security's accrued amount over its notional at the date.

public override double Amount(Date? defaultDate, double notional, double recoveryRate, EvaluationContext context)

defaultDate Date?: The default date, or null for the security's settlement date.
notional double: The notional.
recoveryRate double: The recovery rate.
context EvaluationContext: The evaluation context the security's amounts are read in.