AverageBMALeg Class Reference

helper class building a sequence of average BMA coupons More...

#include <averagebmacoupon.hpp>

Collaboration diagram for AverageBMALeg:

Public Member Functions
	AverageBMALeg (Schedule schedule, ext::shared_ptr< BMAIndex > index)
AverageBMALeg &	withNotionals (Real notional)
AverageBMALeg &	withNotionals (const std::vector< Real > &notionals)
AverageBMALeg &	withPaymentDayCounter (const DayCounter &)
AverageBMALeg &	withPaymentAdjustment (BusinessDayConvention)
AverageBMALeg &	withGearings (Real gearing)
AverageBMALeg &	withGearings (const std::vector< Real > &gearings)
AverageBMALeg &	withSpreads (Spread spread)
AverageBMALeg &	withSpreads (const std::vector< Spread > &spreads)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< BMAIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
std::vector< Real >	gearings_
std::vector< Spread >	spreads_

Detailed Description

helper class building a sequence of average BMA coupons

Definition at line 83 of file averagebmacoupon.hpp.

Constructor & Destructor Documentation

AverageBMALeg()

AverageBMALeg	(	Schedule	schedule,
		ext::shared_ptr< BMAIndex >	index
	)

Definition at line 165 of file averagebmacoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

AverageBMALeg & withNotionals

(

Real

notional

)

Definition at line 168 of file averagebmacoupon.cpp.

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withNotionals() [2/2]

AverageBMALeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 173 of file averagebmacoupon.cpp.

withPaymentDayCounter()

AverageBMALeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 179 of file averagebmacoupon.cpp.

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withPaymentAdjustment()

AverageBMALeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 185 of file averagebmacoupon.cpp.

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withGearings() [1/2]

AverageBMALeg & withGearings

(

Real

gearing

)

Definition at line 191 of file averagebmacoupon.cpp.

withGearings() [2/2]

AverageBMALeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 196 of file averagebmacoupon.cpp.

withSpreads() [1/2]

AverageBMALeg & withSpreads

(

Spread

spread

)

Definition at line 202 of file averagebmacoupon.cpp.

withSpreads() [2/2]

AverageBMALeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 207 of file averagebmacoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 213 of file averagebmacoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 96 of file averagebmacoupon.hpp.

index_

ext::shared_ptr<BMAIndex> index_

private

Definition at line 97 of file averagebmacoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 98 of file averagebmacoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 99 of file averagebmacoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 100 of file averagebmacoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 101 of file averagebmacoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 102 of file averagebmacoupon.hpp.