TFloatRate Struct Reference

Defines a flaoting rate. More...

#include <bastypes.h>


Data Fields

TDateInterval matInterval
TDateInterval payInterval
long dayCountConv
TDateAdjIntvl spotOffset
double spread
long rateType
double weight

Detailed Description

Defines a flaoting rate.

TFloatRate defines a floating rate. For example, a 5 year semi-annual swap rate, LIBOR or a compounding rate. Note that payInterval is ONLY used if rateType = JPMCDS_SIMPLE_BASIS. This setting is used to compute LIBOR and par swap rates. In order to compute compounding rates, set rateType = JPMCDS_ANNUAL_BASIS (1) or 2 for semi-annual compounding, etc. See the documentation for JpmcdsDayCountFraction for a list of possible day count convention constants. Note that there is no difference between a TFloatRate which has a payInterval *equal* to the matInterval (for the same instrument) one which has a payInterval which is *greater* than the matInterval, and one which has payInterval = 0. This is because the instruments *always* have a payment at maturity, and also payments at intervals of payInterval, for dates on or before the maturity date. Simple LIBOR, etc (a zero coupon rate) is expressed by making the payInterval = matInterval. Note that the spread is added to the rate *AFTER* multiplying by the weight. Note that the holiday file and bad day convention in the TDateAdjIntvl are used to adjust dates used to compute the rate.

Field Documentation

long TFloatRate::dayCountConv

Day count convention of rate

TDateInterval TFloatRate::matInterval

Time to maturity of rate

TDateInterval TFloatRate::payInterval

Time between payments for rate

long TFloatRate::rateType

JPMCDS_SIMPLE_BASIS, JPMCDS_ANNUAL_BASIS

TDateAdjIntvl TFloatRate::spotOffset

From reset to rate effective date

double TFloatRate::spread

Added to the rate

double TFloatRate::weight

Multiplied by rate

The documentation for this struct was generated from the following file:
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