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