SwapConventions Class Reference

#include <qle/termstructures/swaptionvolatilityconverter.hpp>

Collaboration diagram for SwapConventions:

Public Member Functions
	SwapConventions (Natural settlementDays, const Period &fixedTenor, const Calendar &fixedCalendar, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCounter, const QuantLib::ext::shared_ptr< IborIndex > &floatIndex)
	Constructor. More...

Inspectors
Natural	settlementDays_
Period	fixedTenor_
Calendar	fixedCalendar_
BusinessDayConvention	fixedConvention_
DayCounter	fixedDayCounter_
QuantLib::ext::shared_ptr< IborIndex >	floatIndex_
Natural	settlementDays () const
const Period &	fixedTenor () const
const Calendar &	fixedCalendar () const
BusinessDayConvention	fixedConvention () const
const DayCounter &	fixedDayCounter () const
const QuantLib::ext::shared_ptr< IborIndex >	floatIndex () const

Detailed Description

Container for holding swap conventions needed by the SwaptionVolatilityConverter

Definition at line 39 of file swaptionvolatilityconverter.hpp.

Constructor & Destructor Documentation

SwapConventions()

SwapConventions	(	Natural	settlementDays,
		const Period &	fixedTenor,
		const Calendar &	fixedCalendar,
		BusinessDayConvention	fixedConvention,
		const DayCounter &	fixedDayCounter,
		const QuantLib::ext::shared_ptr< IborIndex > &	floatIndex
	)

Constructor.

Definition at line 42 of file swaptionvolatilityconverter.hpp.

        : settlementDays_(settlementDays), fixedTenor_(fixedTenor), fixedCalendar_(fixedCalendar),
          fixedConvention_(fixedConvention), fixedDayCounter_(fixedDayCounter), floatIndex_(floatIndex) {}

Member Function Documentation

settlementDays()

Natural settlementDays

(

)

const

Definition at line 50 of file swaptionvolatilityconverter.hpp.

{ return settlementDays_; }

fixedTenor()

const Period & fixedTenor

(

)

const

Definition at line 51 of file swaptionvolatilityconverter.hpp.

{ return fixedTenor_; }

fixedCalendar()

const Calendar & fixedCalendar

(

)

const

Definition at line 52 of file swaptionvolatilityconverter.hpp.

{ return fixedCalendar_; }

fixedConvention()

BusinessDayConvention fixedConvention

(

)

const

Definition at line 53 of file swaptionvolatilityconverter.hpp.

{ return fixedConvention_; }

fixedDayCounter()

const DayCounter & fixedDayCounter

(

)

const

Definition at line 54 of file swaptionvolatilityconverter.hpp.

{ return fixedDayCounter_; }

floatIndex()

const QuantLib::ext::shared_ptr< IborIndex > floatIndex

(

)

const

Definition at line 55 of file swaptionvolatilityconverter.hpp.

{ return floatIndex_; }

Member Data Documentation

settlementDays_

Natural settlementDays_

private

Definition at line 59 of file swaptionvolatilityconverter.hpp.

fixedTenor_

Period fixedTenor_

private

Definition at line 60 of file swaptionvolatilityconverter.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 61 of file swaptionvolatilityconverter.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_

private

Definition at line 62 of file swaptionvolatilityconverter.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 63 of file swaptionvolatilityconverter.hpp.

floatIndex_

QuantLib::ext::shared_ptr<IborIndex> floatIndex_

private

Definition at line 64 of file swaptionvolatilityconverter.hpp.