TRSLeg Class Reference

helper class building a sequence of trs cashflows More...

#include <qle/cashflows/trscashflow.hpp>

Collaboration diagram for TRSLeg:

Public Member Functions
	TRSLeg (const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const Real notional, const QuantLib::ext::shared_ptr< Index > &index, const QuantLib::ext::shared_ptr< FxIndex > &fxIndex=nullptr)
TRSLeg &	withInitialPrice (Real)
	operator Leg () const

Private Attributes
std::vector< Date >	valuationDates_
std::vector< Date >	paymentDates_
Real	notional_
QuantLib::ext::shared_ptr< Index >	index_
QuantLib::ext::shared_ptr< FxIndex >	fxIndex_
Real	initialPrice_

Detailed Description

helper class building a sequence of trs cashflows

Definition at line 86 of file trscashflow.hpp.

Constructor & Destructor Documentation

TRSLeg()

TRSLeg	(	const std::vector< Date > &	valuationDates,
		const std::vector< Date > &	paymentDates,
		const Real	notional,
		const QuantLib::ext::shared_ptr< Index > &	index,
		const QuantLib::ext::shared_ptr< FxIndex > &	fxIndex = nullptr
	)

Definition at line 59 of file trscashflow.cpp.

    : valuationDates_(valuationDates), paymentDates_(paymentDates), notional_(notional), index_(index),
      fxIndex_(fxIndex) {}

Member Function Documentation

withInitialPrice()

TRSLeg & withInitialPrice

(

Real

initialPrice

)

Definition at line 65 of file trscashflow.cpp.

                                                  {
    initialPrice_ = initialPrice;
    return *this;
}

operator Leg()

operator Leg

(

)

const

Definition at line 70 of file trscashflow.cpp.

                           {
    Leg leg;
    Real initialPrice;
 
    for (Size i = 0; i < valuationDates_.size() - 1; ++i) {
        initialPrice = i == 0 ? initialPrice_ : Null<Real>();
        leg.push_back(QuantLib::ext::make_shared<TRSCashFlow>(paymentDates_[i], valuationDates_[i], valuationDates_[i + 1],
                                                          notional_, index_, initialPrice, fxIndex_));
    }
    return leg;
}

Member Data Documentation

valuationDates_

std::vector<Date> valuationDates_

private

Definition at line 94 of file trscashflow.hpp.

paymentDates_

std::vector<Date> paymentDates_

private

Definition at line 95 of file trscashflow.hpp.

notional_

Real notional_

private

Definition at line 96 of file trscashflow.hpp.

index_

QuantLib::ext::shared_ptr<Index> index_

private

Definition at line 97 of file trscashflow.hpp.

fxIndex_

QuantLib::ext::shared_ptr<FxIndex> fxIndex_

private

Definition at line 98 of file trscashflow.hpp.

initialPrice_

Real initialPrice_

private

Definition at line 99 of file trscashflow.hpp.