Range Accrual

Overview

functions to construct and use Range Accrual objects.

Function List

qlRangeAccrualFloatersCoupon ()
qlRangeAccrualFloatersCouponEndDate ()
qlRangeAccrualFloatersCouponFromLeg ()
qlRangeAccrualFloatersCouponObservationDates ()
qlRangeAccrualFloatersCouponObservationsNo ()
qlRangeAccrualFloatersCouponSetPricer ()
qlRangeAccrualFloatersCouponStarDate ()
qlRangeAccrualFloatersPrice ()
qlRangeAccrualPricerByBgm ()
qlSimpleFloaterPrice ()

Function Documentation

qlRangeAccrualFloatersCoupon

string returnValue
 
qlRangeAccrualFloatersCoupon(
        string ObjectId
        double Nominal
        long PaymentDate
        string IborIndex
        long StartDate
        long EndDate
        long FixingDays
        string DayCountID
        double Gearings
        double Spreads
        long RefPeriodStart
        long RefPeriodEnd
        string ObserSchedID
        double LowerTrigger
        double UpperTrigger
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RangeAccrualFloatersCoupon and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Nominal	coupon nominal.
PaymentDate	payment Date.
IborIndex	underlying ibor index.
StartDate	start Date.
EndDate	end Date.
FixingDays	fixingDays.
DayCountID	day counter.
Gearings	gearings.
Spreads	spreads.
RefPeriodStart	refPeriodStart.
RefPeriodEnd	refPeriodEnd.
ObserSchedID	observations schedule.
LowerTrigger	lowerTrigger.
UpperTrigger	upperTrigger.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRangeAccrualFloatersCouponEndDate

long returnValue
 
qlRangeAccrualFloatersCouponEndDate(
        string ObjectId
        any Trigger)

Description:

Return the accrual end Date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
Trigger	dependency tracking trigger

qlRangeAccrualFloatersCouponFromLeg

string returnValue
 
qlRangeAccrualFloatersCouponFromLeg(
        string ObjectId
        string RangeAccrualLeg
        long Position
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RangeAccrualFloatersCoupon and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
RangeAccrualLeg	range accrual leg object ID.
Position	position.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlRangeAccrualFloatersCouponObservationDates

vector<long> returnValue
 
qlRangeAccrualFloatersCouponObservationDates(
        string ObjectId
        any Trigger)

Description:

Return the observation Dates.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
Trigger	dependency tracking trigger

qlRangeAccrualFloatersCouponObservationsNo

long returnValue
 
qlRangeAccrualFloatersCouponObservationsNo(
        string ObjectId
        any Trigger)

Description:

Return the observations number.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
Trigger	dependency tracking trigger

qlRangeAccrualFloatersCouponSetPricer

void returnValue
 
qlRangeAccrualFloatersCouponSetPricer(
        string ObjectId
        string RangeAccrualPricer
        any Trigger)

Description:

Set the coupon pricer at the given coupon object.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
RangeAccrualPricer	RangeAccrual coupon pricer object ID.
Trigger	dependency tracking trigger

qlRangeAccrualFloatersCouponStarDate

long returnValue
 
qlRangeAccrualFloatersCouponStarDate(
        string ObjectId
        any Trigger)

Description:

Return the accrual start Date.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
Trigger	dependency tracking trigger

qlRangeAccrualFloatersPrice

double returnValue
 
qlRangeAccrualFloatersPrice(
        string ObjectId
        string YieldCurve
        any Trigger)

Description:

return the price of Range Accrual Floater Coupon.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
YieldCurve	yield curve.
Trigger	dependency tracking trigger

qlRangeAccrualPricerByBgm

string returnValue
 
qlRangeAccrualPricerByBgm(
        string ObjectId
        double Correlation
        string SmileOnStartDateID
        string SmileOnEndDateID
        bool WithSmile
        bool ByCallSpread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class RangeAccrualPricerByBgm and return its id

Supported Platforms:

Excel, C++, Calc

Parameters

ObjectId	id of object to be created
Correlation	correlation.
SmileOnStartDateID	ID of the smile on start date object.
SmileOnEndDateID	ID of the smile on end date object.
WithSmile	with Smile?.
ByCallSpread	replicated by Call spread?.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSimpleFloaterPrice

double returnValue
 
qlSimpleFloaterPrice(
        string ObjectId
        string YieldCurve
        any Trigger)

Description:

return the price of Simple Floater Coupon.

Supported Platforms:

Excel, Calc

Parameters

ObjectId	id of existing QuantLib::RangeAccrualFloatersCoupon object
YieldCurve	yield curve.
Trigger	dependency tracking trigger