QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class More...
#include <makeswaption.hpp>
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 | |
MakeSwaption & | withNominal (Real n) |
MakeSwaption & | withSettlementType (Settlement::Type delivery) |
MakeSwaption & | withSettlementMethod (Settlement::Method settlementMethod) |
MakeSwaption & | withOptionConvention (BusinessDayConvention bdc) |
MakeSwaption & | withExerciseDate (const Date &) |
MakeSwaption & | withUnderlyingType (Swap::Type type) |
MakeSwaption & | withIndexedCoupons (const ext::optional< bool > &b=true) |
MakeSwaption & | withAtParCoupons (bool b=true) |
MakeSwaption & | withPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
Private Attributes | |
ext::shared_ptr< SwapIndex > | swapIndex_ |
Settlement::Type | delivery_ |
Settlement::Method | settlementMethod_ |
ext::shared_ptr< FixedVsFloatingSwap > | underlyingSwap_ |
Period | optionTenor_ |
BusinessDayConvention | optionConvention_ |
Date | fixingDate_ |
Date | exerciseDate_ |
ext::shared_ptr< Exercise > | exercise_ |
Rate | strike_ |
Swap::Type | underlyingType_ |
Real | nominal_ |
ext::optional< bool > | useIndexedCoupons_ |
ext::shared_ptr< PricingEngine > | engine_ |
helper class
This class provides a more comfortable way to instantiate standard market swaption.
Definition at line 45 of file makeswaption.hpp.
MakeSwaption | ( | ext::shared_ptr< SwapIndex > | swapIndex, |
const Period & | optionTenor, | ||
Rate | strike = Null<Rate>() |
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Definition at line 34 of file makeswaption.cpp.
MakeSwaption | ( | ext::shared_ptr< SwapIndex > | swapIndex, |
const Date & | fixingDate, | ||
Rate | strike = Null<Rate>() |
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) |
Definition at line 42 of file makeswaption.cpp.
operator Swaption | ( | ) | const |
Definition at line 49 of file makeswaption.cpp.
operator ext::shared_ptr< Swaption > | ( | ) | const |
MakeSwaption & withNominal | ( | Real | n | ) |
Definition at line 179 of file makeswaption.cpp.
MakeSwaption & withSettlementType | ( | Settlement::Type | delivery | ) |
Definition at line 146 of file makeswaption.cpp.
MakeSwaption & withSettlementMethod | ( | Settlement::Method | settlementMethod | ) |
Definition at line 151 of file makeswaption.cpp.
MakeSwaption & withOptionConvention | ( | BusinessDayConvention | bdc | ) |
Definition at line 158 of file makeswaption.cpp.
MakeSwaption & withExerciseDate | ( | const Date & | date | ) |
Definition at line 163 of file makeswaption.cpp.
MakeSwaption & withUnderlyingType | ( | Swap::Type | type | ) |
MakeSwaption & withIndexedCoupons | ( | const ext::optional< bool > & | b = true | ) |
Definition at line 184 of file makeswaption.cpp.
MakeSwaption & withAtParCoupons | ( | bool | b = true | ) |
Definition at line 189 of file makeswaption.cpp.
MakeSwaption & withPricingEngine | ( | const ext::shared_ptr< PricingEngine > & | engine | ) |
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Definition at line 70 of file makeswaption.hpp.
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Definition at line 71 of file makeswaption.hpp.
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Definition at line 72 of file makeswaption.hpp.
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mutableprivate |
Definition at line 73 of file makeswaption.hpp.
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Definition at line 75 of file makeswaption.hpp.
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Definition at line 76 of file makeswaption.hpp.
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mutableprivate |
Definition at line 77 of file makeswaption.hpp.
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Definition at line 78 of file makeswaption.hpp.
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mutableprivate |
Definition at line 79 of file makeswaption.hpp.
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Definition at line 81 of file makeswaption.hpp.
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Definition at line 82 of file makeswaption.hpp.
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Definition at line 83 of file makeswaption.hpp.
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Definition at line 84 of file makeswaption.hpp.
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Definition at line 86 of file makeswaption.hpp.