RiskParticipationAgreement::arguments Class Reference

#include <qle/instruments/riskparticipationagreement.hpp>

Inheritance diagram for RiskParticipationAgreement::arguments:

Collaboration diagram for RiskParticipationAgreement::arguments:

Public Member Functions
	arguments ()
void	validate () const override

Public Attributes
std::vector< Leg >	underlying
std::vector< bool >	underlyingPayer
std::vector< std::string >	underlyingCcys
std::vector< Leg >	protectionFee
bool	protectionFeePayer
std::vector< std::string >	protectionFeeCcys
Real	participationRate
Date	protectionStart
Date	protectionEnd
Date	underlyingMaturity
bool	settlesAccrual
Real	fixedRecoveryRate
QuantLib::ext::shared_ptr< Exercise >	exercise
bool	exerciseIsLong
std::vector< QuantLib::ext::shared_ptr< CashFlow > >	premium
bool	nakedOption
std::vector< QuantLib::ext::shared_ptr< Instrument > >	optionRepresentation
std::vector< Real >	optionMultiplier
std::vector< std::tuple< Date, Date, Date > >	optionRepresentationPeriods
Date	optionRepresentationReferenceDate

Detailed Description

Definition at line 99 of file riskparticipationagreement.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 101 of file riskparticipationagreement.hpp.

: protectionFeePayer(false), participationRate(0.0), settlesAccrual(false), fixedRecoveryRate(0.0) {}

Member Function Documentation

validate()

void validate ( ) const

override

Definition at line 102 of file riskparticipationagreement.hpp.

{}

Member Data Documentation

underlying

std::vector<Leg> underlying

Definition at line 103 of file riskparticipationagreement.hpp.

underlyingPayer

std::vector<bool> underlyingPayer

Definition at line 104 of file riskparticipationagreement.hpp.

underlyingCcys

std::vector<std::string> underlyingCcys

Definition at line 105 of file riskparticipationagreement.hpp.

protectionFee

std::vector<Leg> protectionFee

Definition at line 106 of file riskparticipationagreement.hpp.

protectionFeePayer

bool protectionFeePayer

Definition at line 107 of file riskparticipationagreement.hpp.

protectionFeeCcys

std::vector<std::string> protectionFeeCcys

Definition at line 108 of file riskparticipationagreement.hpp.

participationRate

Real participationRate

Definition at line 109 of file riskparticipationagreement.hpp.

protectionStart

Date protectionStart

Definition at line 110 of file riskparticipationagreement.hpp.

protectionEnd

Date protectionEnd

Definition at line 110 of file riskparticipationagreement.hpp.

underlyingMaturity

Date underlyingMaturity

Definition at line 110 of file riskparticipationagreement.hpp.

settlesAccrual

bool settlesAccrual

Definition at line 111 of file riskparticipationagreement.hpp.

fixedRecoveryRate

Real fixedRecoveryRate

Definition at line 112 of file riskparticipationagreement.hpp.

exercise

QuantLib::ext::shared_ptr<Exercise> exercise

Definition at line 113 of file riskparticipationagreement.hpp.

exerciseIsLong

bool exerciseIsLong

Definition at line 114 of file riskparticipationagreement.hpp.

premium

std::vector<QuantLib::ext::shared_ptr<CashFlow> > premium

Definition at line 115 of file riskparticipationagreement.hpp.

nakedOption

bool nakedOption

Definition at line 116 of file riskparticipationagreement.hpp.

optionRepresentation

std::vector<QuantLib::ext::shared_ptr<Instrument> > optionRepresentation

Definition at line 117 of file riskparticipationagreement.hpp.

optionMultiplier

std::vector<Real> optionMultiplier

Definition at line 118 of file riskparticipationagreement.hpp.

optionRepresentationPeriods

std::vector<std::tuple<Date, Date, Date> > optionRepresentationPeriods

Definition at line 119 of file riskparticipationagreement.hpp.

optionRepresentationReferenceDate

Date optionRepresentationReferenceDate

Definition at line 120 of file riskparticipationagreement.hpp.