#include <test/swaptionmarketdata.hpp>

Collaboration diagram for SwaptionConventionsEUR:

Public Member Functions
	SwaptionConventionsEUR ()

Public Attributes
Natural	settlementDays

Period	fixedTenor

Calendar	fixedCalendar

BusinessDayConvention	fixedConvention

DayCounter	fixedDayCounter

QuantLib::ext::shared_ptr< IborIndex >	floatIndex

QuantLib::ext::shared_ptr< SwapIndex >	swapIndex

QuantLib::ext::shared_ptr< SwapIndex >	shortSwapIndex

Detailed Description

Definition at line 219 of file swaptionmarketdata.hpp.

Constructor & Destructor Documentation

◆ SwaptionConventionsEUR()

SwaptionConventionsEUR ( )

Definition at line 221 of file swaptionmarketdata.hpp.

        : settlementDays(2), fixedTenor(Period(1, Years)), fixedCalendar(TARGET()), fixedConvention(ModifiedFollowing),
          fixedDayCounter(Thirty360(Thirty360::BondBasis)), floatIndex(QuantLib::ext::make_shared<Euribor6M>()),
          swapIndex(QuantLib::ext::make_shared<EuriborSwapIsdaFixA>(10 * Years)),
          shortSwapIndex(QuantLib::ext::make_shared<EuriborSwapIsdaFixA>(2 * Years)) {}

Member Data Documentation

◆ settlementDays

Natural settlementDays

Definition at line 228 of file swaptionmarketdata.hpp.

◆ fixedTenor

Period fixedTenor

Definition at line 229 of file swaptionmarketdata.hpp.

◆ fixedCalendar

Calendar fixedCalendar

Definition at line 230 of file swaptionmarketdata.hpp.

◆ fixedConvention

BusinessDayConvention fixedConvention

Definition at line 231 of file swaptionmarketdata.hpp.

◆ fixedDayCounter

DayCounter fixedDayCounter

Definition at line 232 of file swaptionmarketdata.hpp.

◆ floatIndex

QuantLib::ext::shared_ptr<IborIndex> floatIndex

Definition at line 233 of file swaptionmarketdata.hpp.

◆ swapIndex

QuantLib::ext::shared_ptr<SwapIndex> swapIndex

Definition at line 234 of file swaptionmarketdata.hpp.

◆ shortSwapIndex

QuantLib::ext::shared_ptr<SwapIndex> shortSwapIndex