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fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
MakeSwaption Class Reference

helper class More...

#include <makeswaption.hpp>

+ Collaboration diagram for MakeSwaption:

Public Member Functions

 MakeSwaption (ext::shared_ptr< SwapIndex > swapIndex, const Period &optionTenor, Rate strike=Null< Rate >())
 
 MakeSwaption (ext::shared_ptr< SwapIndex > swapIndex, const Date &fixingDate, Rate strike=Null< Rate >())
 
 operator Swaption () const
 
 operator ext::shared_ptr< Swaption > () const
 
MakeSwaptionwithNominal (Real n)
 
MakeSwaptionwithSettlementType (Settlement::Type delivery)
 
MakeSwaptionwithSettlementMethod (Settlement::Method settlementMethod)
 
MakeSwaptionwithOptionConvention (BusinessDayConvention bdc)
 
MakeSwaptionwithExerciseDate (const Date &)
 
MakeSwaptionwithUnderlyingType (Swap::Type type)
 
MakeSwaptionwithIndexedCoupons (const ext::optional< bool > &b=true)
 
MakeSwaptionwithAtParCoupons (bool b=true)
 
MakeSwaptionwithPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
 

Private Attributes

ext::shared_ptr< SwapIndexswapIndex_
 
Settlement::Type delivery_
 
Settlement::Method settlementMethod_
 
ext::shared_ptr< FixedVsFloatingSwapunderlyingSwap_
 
Period optionTenor_
 
BusinessDayConvention optionConvention_
 
Date fixingDate_
 
Date exerciseDate_
 
ext::shared_ptr< Exerciseexercise_
 
Rate strike_
 
Swap::Type underlyingType_
 
Real nominal_
 
ext::optional< booluseIndexedCoupons_
 
ext::shared_ptr< PricingEngineengine_
 

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard market swaption.

Definition at line 45 of file makeswaption.hpp.

Constructor & Destructor Documentation

◆ MakeSwaption() [1/2]

MakeSwaption ( ext::shared_ptr< SwapIndex swapIndex,
const Period optionTenor,
Rate  strike = Null<Rate>() 
)

Definition at line 34 of file makeswaption.cpp.

◆ MakeSwaption() [2/2]

MakeSwaption ( ext::shared_ptr< SwapIndex swapIndex,
const Date fixingDate,
Rate  strike = Null<Rate>() 
)

Definition at line 42 of file makeswaption.cpp.

Member Function Documentation

◆ operator Swaption()

operator Swaption ( ) const

Definition at line 49 of file makeswaption.cpp.

◆ operator ext::shared_ptr< Swaption >()

operator ext::shared_ptr< Swaption > ( ) const

Definition at line 54 of file makeswaption.cpp.

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◆ withNominal()

MakeSwaption & withNominal ( Real  n)

Definition at line 179 of file makeswaption.cpp.

◆ withSettlementType()

MakeSwaption & withSettlementType ( Settlement::Type  delivery)

Definition at line 146 of file makeswaption.cpp.

◆ withSettlementMethod()

MakeSwaption & withSettlementMethod ( Settlement::Method  settlementMethod)

Definition at line 151 of file makeswaption.cpp.

◆ withOptionConvention()

MakeSwaption & withOptionConvention ( BusinessDayConvention  bdc)

Definition at line 158 of file makeswaption.cpp.

◆ withExerciseDate()

MakeSwaption & withExerciseDate ( const Date date)

Definition at line 163 of file makeswaption.cpp.

◆ withUnderlyingType()

MakeSwaption & withUnderlyingType ( Swap::Type  type)

Definition at line 168 of file makeswaption.cpp.

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◆ withIndexedCoupons()

MakeSwaption & withIndexedCoupons ( const ext::optional< bool > &  b = true)

Definition at line 184 of file makeswaption.cpp.

◆ withAtParCoupons()

MakeSwaption & withAtParCoupons ( bool  b = true)

Definition at line 189 of file makeswaption.cpp.

◆ withPricingEngine()

MakeSwaption & withPricingEngine ( const ext::shared_ptr< PricingEngine > &  engine)

Definition at line 173 of file makeswaption.cpp.

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Member Data Documentation

◆ swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_
private

Definition at line 70 of file makeswaption.hpp.

◆ delivery_

Settlement::Type delivery_
private

Definition at line 71 of file makeswaption.hpp.

◆ settlementMethod_

Settlement::Method settlementMethod_
private

Definition at line 72 of file makeswaption.hpp.

◆ underlyingSwap_

ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap_
mutableprivate

Definition at line 73 of file makeswaption.hpp.

◆ optionTenor_

Period optionTenor_
private

Definition at line 75 of file makeswaption.hpp.

◆ optionConvention_

BusinessDayConvention optionConvention_
private

Definition at line 76 of file makeswaption.hpp.

◆ fixingDate_

Date fixingDate_
mutableprivate

Definition at line 77 of file makeswaption.hpp.

◆ exerciseDate_

Date exerciseDate_
private

Definition at line 78 of file makeswaption.hpp.

◆ exercise_

ext::shared_ptr<Exercise> exercise_
mutableprivate

Definition at line 79 of file makeswaption.hpp.

◆ strike_

Rate strike_
private

Definition at line 81 of file makeswaption.hpp.

◆ underlyingType_

Swap::Type underlyingType_
private

Definition at line 82 of file makeswaption.hpp.

◆ nominal_

Real nominal_
private

Definition at line 83 of file makeswaption.hpp.

◆ useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_
private

Definition at line 84 of file makeswaption.hpp.

◆ engine_

ext::shared_ptr<PricingEngine> engine_
private

Definition at line 86 of file makeswaption.hpp.