numericlgmriskparticipationagreementengine.cpp File Reference

#include <ored/scripting/engines/numericlgmriskparticipationagreementengine.hpp>
#include <qle/cashflows/averageonindexedcoupon.hpp>
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/instruments/rebatedexercise.hpp>
#include <qle/models/lgmvectorised.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/floatingratecoupon.hpp>
#include <ql/cashflows/simplecashflow.hpp>
#include <ql/exercise.hpp>
#include <ql/experimental/coupons/strippedcapflooredcoupon.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Variable Documentation

cf_

QuantLib::ext::shared_ptr<CappedFlooredCoupon> cf_

private

Definition at line 114 of file numericlgmriskparticipationagreementengine.cpp.

scf_

QuantLib::ext::shared_ptr<StrippedCappedFlooredCoupon> scf_

private

Definition at line 115 of file numericlgmriskparticipationagreementengine.cpp.

ibor_

QuantLib::ext::shared_ptr<IborCoupon> ibor_

private

Definition at line 116 of file numericlgmriskparticipationagreementengine.cpp.

comp_

QuantLib::ext::shared_ptr<QuantExt::OvernightIndexedCoupon> comp_

private

Definition at line 302 of file numericlgmriskparticipationagreementengine.cpp.

avg_

QuantLib::ext::shared_ptr<QuantExt::AverageONIndexedCoupon> avg_

private

Definition at line 303 of file numericlgmriskparticipationagreementengine.cpp.

cfcomp_

QuantLib::ext::shared_ptr<QuantExt::CappedFlooredOvernightIndexedCoupon> cfcomp_

private

Definition at line 304 of file numericlgmriskparticipationagreementengine.cpp.

cfavg_

QuantLib::ext::shared_ptr<QuantExt::CappedFlooredAverageONIndexedCoupon> cfavg_

private

Definition at line 305 of file numericlgmriskparticipationagreementengine.cpp.