Class | Description |
---|---|
CouponPeriod |
This class extends the period class with a few day-count specific parameters such as: frequency, reset
date, and accrual day-count convention.
|
CouponPeriodCurveFactors |
This class is an enhancement of the period class using the following period measures: start/end survival
probabilities, start/end notionals, and period start/end discount factor
|
LossPeriodCurveFactors |
This class is an implementation of the period class enhanced by the following period measures: start/end
survival probabilities, period effective notional/recovery/discount factor
|
Period |
This class serves as a holder for the period dates: period start/end, period accrual start/end, pay, and
full period day count fraction.
|