CmbLeg Class Reference

helper class building a sequence of capped/floored cmb coupons More...

#include <qle/cashflows/cmbcoupon.hpp>

Collaboration diagram for CmbLeg:

Public Member Functions
	CmbLeg (Schedule schedule, std::vector< ext::shared_ptr< ConstantMaturityBondIndex > > bondIndices)
CmbLeg &	withNotionals (Real notional)
CmbLeg &	withNotionals (const std::vector< Real > &notionals)
CmbLeg &	withPaymentDayCounter (const DayCounter &)
CmbLeg &	withPaymentCalendar (const Calendar &cal)
CmbLeg &	withPaymentAdjustment (BusinessDayConvention)
CmbLeg &	withFixingDays (Natural fixingDays)
CmbLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
CmbLeg &	withGearings (Real gearing)
CmbLeg &	withGearings (const std::vector< Real > &gearings)
CmbLeg &	withSpreads (Spread spread)
CmbLeg &	withSpreads (const std::vector< Spread > &spreads)
CmbLeg &	withCaps (Rate cap)
CmbLeg &	withCaps (const std::vector< Rate > &caps)
CmbLeg &	withFloors (Rate floor)
CmbLeg &	withFloors (const std::vector< Rate > &floors)
CmbLeg &	inArrears (bool flag=true)
CmbLeg &	withZeroPayments (bool flag=true)
CmbLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth)
	operator Leg () const

Private Attributes
Schedule	schedule_
std::vector< ext::shared_ptr< ConstantMaturityBondIndex > >	bondIndices_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_
Calendar	paymentCalendar_
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	caps_
std::vector< Rate >	floors_
bool	inArrears_
bool	zeroPayments_
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_
bool	exCouponEndOfMonth_

Detailed Description

helper class building a sequence of capped/floored cmb coupons

Definition at line 87 of file cmbcoupon.hpp.

Constructor & Destructor Documentation

CmbLeg()

CmbLeg	(	Schedule	schedule,
		std::vector< ext::shared_ptr< ConstantMaturityBondIndex > >	bondIndices
	)

Definition at line 92 of file cmbcoupon.cpp.

    : schedule_(std::move(schedule)), bondIndices_(bondIndices),
      paymentAdjustment_(Following), inArrears_(false), zeroPayments_(false) {
    QL_REQUIRE(bondIndices_.size() == schedule_.size() - 1, "vector size mismatch between schedule ("
                                                                << schedule_.size() << ") and bond indices ("
                                                                << bondIndices_.size() << ")");
}

Member Function Documentation

withNotionals() [1/2]

CmbLeg & withNotionals

(

Real

notional

)

Definition at line 100 of file cmbcoupon.cpp.

                                           {
    notionals_ = std::vector<Real>(1, notional);
    return *this;
}

withNotionals() [2/2]

CmbLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 105 of file cmbcoupon.cpp.

                                                              {
    notionals_ = notionals;
    return *this;
}

withPaymentDayCounter()

CmbLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 110 of file cmbcoupon.cpp.

                                                                  {
    paymentDayCounter_ = dayCounter;
    return *this;
}

withPaymentCalendar()

CmbLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 180 of file cmbcoupon.cpp.

                                                       {
    paymentCalendar_ = cal;
    return *this;
}

withPaymentAdjustment()

CmbLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 115 of file cmbcoupon.cpp.

                                                                      {
    paymentAdjustment_ = convention;
    return *this;
}

withFixingDays() [1/2]

CmbLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 120 of file cmbcoupon.cpp.

                                                 {
    fixingDays_ = std::vector<Natural>(1, fixingDays);
    return *this;
}

withFixingDays() [2/2]

CmbLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 125 of file cmbcoupon.cpp.

                                                                   {
    fixingDays_ = fixingDays;
    return *this;
}

withGearings() [1/2]

CmbLeg & withGearings

(

Real

gearing

)

Definition at line 130 of file cmbcoupon.cpp.

                                         {
    gearings_ = std::vector<Real>(1, gearing);
    return *this;
}

withGearings() [2/2]

CmbLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 135 of file cmbcoupon.cpp.

                                                            {
    gearings_ = gearings;
    return *this;
}

withSpreads() [1/2]

CmbLeg & withSpreads

(

Spread

spread

)

Definition at line 140 of file cmbcoupon.cpp.

                                         {
    spreads_ = std::vector<Spread>(1, spread);
    return *this;
}

withSpreads() [2/2]

CmbLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 145 of file cmbcoupon.cpp.

                                                            {
    spreads_ = spreads;
    return *this;
}

withCaps() [1/2]

CmbLeg & withCaps

(

Rate

cap

)

Definition at line 150 of file cmbcoupon.cpp.

                                 {
    caps_ = std::vector<Rate>(1, cap);
    return *this;
}

withCaps() [2/2]

CmbLeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 155 of file cmbcoupon.cpp.

                                                    {
    caps_ = caps;
    return *this;
}

withFloors() [1/2]

CmbLeg & withFloors

(

Rate

floor

)

Definition at line 160 of file cmbcoupon.cpp.

                                     {
    floors_ = std::vector<Rate>(1, floor);
    return *this;
}

withFloors() [2/2]

CmbLeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 165 of file cmbcoupon.cpp.

                                                        {
    floors_ = floors;
    return *this;
}

inArrears()

CmbLeg & inArrears

(

bool

flag = true

)

Definition at line 170 of file cmbcoupon.cpp.

                                   {
    inArrears_ = flag;
    return *this;
}

withZeroPayments()

CmbLeg & withZeroPayments

(

bool

flag = true

)

Definition at line 175 of file cmbcoupon.cpp.

                                          {
    zeroPayments_ = flag;
    return *this;
}

withExCouponPeriod()

CmbLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth
	)

Definition at line 185 of file cmbcoupon.cpp.

                                    {
    exCouponPeriod_ = period;
    exCouponCalendar_ = cal;
    exCouponAdjustment_ = convention;
    exCouponEndOfMonth_ = endOfMonth;
    return *this;
}

operator Leg()

operator Leg

(

)

const

Definition at line 196 of file cmbcoupon.cpp.

                           {
    Leg leg;
    for (Size i = 0; i < schedule_.size() - 1; i++) {
        Date paymentDate = paymentCalendar_.adjust(schedule_[i + 1], paymentAdjustment_);
    QuantLib::ext::shared_ptr<CmbCoupon> coupon
        = QuantLib::ext::make_shared<CmbCoupon>(paymentDate, notionals_[i], schedule_[i], schedule_[i + 1],
                        fixingDays_[i], bondIndices_[i], gearings_[i], spreads_[i], Date(), Date(),
                        paymentDayCounter_, inArrears_);    
    auto pricer = QuantLib::ext::make_shared<CmbCouponPricer>();
    coupon->setPricer(pricer);
    leg.push_back(coupon);
    }
    return leg;
}

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 113 of file cmbcoupon.hpp.

bondIndices_

std::vector<ext::shared_ptr<ConstantMaturityBondIndex> > bondIndices_

private

Definition at line 114 of file cmbcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 115 of file cmbcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 116 of file cmbcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_

private

Definition at line 117 of file cmbcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 118 of file cmbcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 119 of file cmbcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 120 of file cmbcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 121 of file cmbcoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 122 of file cmbcoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 122 of file cmbcoupon.hpp.

inArrears_

bool inArrears_

private

Definition at line 123 of file cmbcoupon.hpp.

zeroPayments_

bool zeroPayments_

private

Definition at line 123 of file cmbcoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 124 of file cmbcoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 125 of file cmbcoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_

private

Definition at line 126 of file cmbcoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_

private

Definition at line 127 of file cmbcoupon.hpp.