SubPeriodsLeg Class Reference

helper class building a sequence of overnight coupons More...

#include <subperiodcoupon.hpp>

Collaboration diagram for SubPeriodsLeg:

Public Member Functions
	SubPeriodsLeg (Schedule schedule, ext::shared_ptr< IborIndex > index)
SubPeriodsLeg &	withNotionals (Real notional)
SubPeriodsLeg &	withNotionals (const std::vector< Real > &notionals)
SubPeriodsLeg &	withPaymentDayCounter (const DayCounter &)
SubPeriodsLeg &	withPaymentAdjustment (BusinessDayConvention)
SubPeriodsLeg &	withPaymentCalendar (const Calendar &)
SubPeriodsLeg &	withPaymentLag (Integer lag)
SubPeriodsLeg &	withFixingDays (Natural fixingDays)
SubPeriodsLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
SubPeriodsLeg &	withGearings (Real gearing)
SubPeriodsLeg &	withGearings (const std::vector< Real > &gearings)
SubPeriodsLeg &	withCouponSpreads (Spread spread)
SubPeriodsLeg &	withCouponSpreads (const std::vector< Spread > &spreads)
SubPeriodsLeg &	withRateSpreads (Spread spread)
SubPeriodsLeg &	withRateSpreads (const std::vector< Spread > &spreads)
SubPeriodsLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
SubPeriodsLeg &	withAveragingMethod (RateAveraging::Type averagingMethod)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< IborIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
Calendar	paymentCalendar_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	couponSpreads_
std::vector< Spread >	rateSpreads_
RateAveraging::Type	averagingMethod_ = RateAveraging::Compound
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Unadjusted
bool	exCouponEndOfMonth_ = false

Detailed Description

helper class building a sequence of overnight coupons

Definition at line 121 of file subperiodcoupon.hpp.

Constructor & Destructor Documentation

SubPeriodsLeg()

SubPeriodsLeg	(	Schedule	schedule,
		ext::shared_ptr< IborIndex >	index
	)

Definition at line 158 of file subperiodcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

SubPeriodsLeg & withNotionals

(

Real

notional

)

Definition at line 163 of file subperiodcoupon.cpp.

withNotionals() [2/2]

SubPeriodsLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 168 of file subperiodcoupon.cpp.

withPaymentDayCounter()

SubPeriodsLeg & withPaymentDayCounter

(

const DayCounter &

dc

)

Definition at line 173 of file subperiodcoupon.cpp.

withPaymentAdjustment()

SubPeriodsLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 178 of file subperiodcoupon.cpp.

withPaymentCalendar()

SubPeriodsLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 183 of file subperiodcoupon.cpp.

withPaymentLag()

SubPeriodsLeg & withPaymentLag

(

Integer

lag

)

Definition at line 188 of file subperiodcoupon.cpp.

withFixingDays() [1/2]

SubPeriodsLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 193 of file subperiodcoupon.cpp.

withFixingDays() [2/2]

SubPeriodsLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 198 of file subperiodcoupon.cpp.

withGearings() [1/2]

SubPeriodsLeg & withGearings

(

Real

gearing

)

Definition at line 203 of file subperiodcoupon.cpp.

withGearings() [2/2]

SubPeriodsLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 208 of file subperiodcoupon.cpp.

withCouponSpreads() [1/2]

SubPeriodsLeg & withCouponSpreads

(

Spread

spread

)

Definition at line 213 of file subperiodcoupon.cpp.

withCouponSpreads() [2/2]

SubPeriodsLeg & withCouponSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 218 of file subperiodcoupon.cpp.

withRateSpreads() [1/2]

SubPeriodsLeg & withRateSpreads

(

Spread

spread

)

Definition at line 223 of file subperiodcoupon.cpp.

withRateSpreads() [2/2]

SubPeriodsLeg & withRateSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 228 of file subperiodcoupon.cpp.

withExCouponPeriod()

SubPeriodsLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = false
	)

Definition at line 238 of file subperiodcoupon.cpp.

withAveragingMethod()

SubPeriodsLeg & withAveragingMethod

(

RateAveraging::Type

averagingMethod

)

Definition at line 233 of file subperiodcoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 249 of file subperiodcoupon.cpp.

Here is the call graph for this function:

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 146 of file subperiodcoupon.hpp.

index_

ext::shared_ptr<IborIndex> index_

private

Definition at line 147 of file subperiodcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 148 of file subperiodcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 149 of file subperiodcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 150 of file subperiodcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 151 of file subperiodcoupon.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 152 of file subperiodcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 153 of file subperiodcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 154 of file subperiodcoupon.hpp.

couponSpreads_

std::vector<Spread> couponSpreads_

private

Definition at line 155 of file subperiodcoupon.hpp.

rateSpreads_

std::vector<Spread> rateSpreads_

private

Definition at line 156 of file subperiodcoupon.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_ = RateAveraging::Compound

private

Definition at line 157 of file subperiodcoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 158 of file subperiodcoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 159 of file subperiodcoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Unadjusted

private

Definition at line 160 of file subperiodcoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 161 of file subperiodcoupon.hpp.