MakeCms Class Reference

helper class for instantiating CMS More...

#include <makecms.hpp>

Collaboration diagram for MakeCms:

Public Member Functions
	MakeCms (const Period &swapTenor, const ext::shared_ptr< SwapIndex > &swapIndex, const ext::shared_ptr< IborIndex > &iborIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days)
	MakeCms (const Period &swapTenor, const ext::shared_ptr< SwapIndex > &swapIndex, Spread iborSpread=0.0, const Period &forwardStart=0 *Days)
	operator Swap () const
	operator ext::shared_ptr< Swap > () const
MakeCms &	receiveCms (bool flag=true)
MakeCms &	withNominal (Real n)
MakeCms &	withEffectiveDate (const Date &)
MakeCms &	withCmsLegTenor (const Period &t)
MakeCms &	withCmsLegCalendar (const Calendar &cal)
MakeCms &	withCmsLegConvention (BusinessDayConvention bdc)
MakeCms &	withCmsLegTerminationDateConvention (BusinessDayConvention)
MakeCms &	withCmsLegRule (DateGeneration::Rule r)
MakeCms &	withCmsLegEndOfMonth (bool flag=true)
MakeCms &	withCmsLegFirstDate (const Date &d)
MakeCms &	withCmsLegNextToLastDate (const Date &d)
MakeCms &	withCmsLegDayCount (const DayCounter &dc)
MakeCms &	withFloatingLegTenor (const Period &t)
MakeCms &	withFloatingLegCalendar (const Calendar &cal)
MakeCms &	withFloatingLegConvention (BusinessDayConvention bdc)
MakeCms &	withFloatingLegTerminationDateConvention (BusinessDayConvention bdc)
MakeCms &	withFloatingLegRule (DateGeneration::Rule r)
MakeCms &	withFloatingLegEndOfMonth (bool flag=true)
MakeCms &	withFloatingLegFirstDate (const Date &d)
MakeCms &	withFloatingLegNextToLastDate (const Date &d)
MakeCms &	withFloatingLegDayCount (const DayCounter &dc)
MakeCms &	withAtmSpread (bool flag=true)
MakeCms &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
MakeCms &	withCmsCouponPricer (const ext::shared_ptr< CmsCouponPricer > &couponPricer)

Private Attributes
Period	swapTenor_
ext::shared_ptr< SwapIndex >	swapIndex_
ext::shared_ptr< IborIndex >	iborIndex_
Spread	iborSpread_
bool	useAtmSpread_
Period	forwardStart_
Spread	cmsSpread_
Real	cmsGearing_
Rate	cmsCap_
Rate	cmsFloor_
Date	effectiveDate_
Calendar	cmsCalendar_
Calendar	floatCalendar_
bool	payCms_
Real	nominal_
Period	cmsTenor_
Period	floatTenor_
BusinessDayConvention	cmsConvention_
BusinessDayConvention	cmsTerminationDateConvention_
BusinessDayConvention	floatConvention_
BusinessDayConvention	floatTerminationDateConvention_
DateGeneration::Rule	cmsRule_
DateGeneration::Rule	floatRule_
bool	cmsEndOfMonth_
bool	floatEndOfMonth_
Date	cmsFirstDate_
Date	cmsNextToLastDate_
Date	floatFirstDate_
Date	floatNextToLastDate_
DayCounter	cmsDayCount_
DayCounter	floatDayCount_
ext::shared_ptr< PricingEngine >	engine_
ext::shared_ptr< CmsCouponPricer >	couponPricer_

Detailed Description

helper class for instantiating CMS

This class provides a more comfortable way to instantiate standard market constant maturity swap.

Definition at line 40 of file makecms.hpp.

Constructor & Destructor Documentation

MakeCms() [1/2]

MakeCms	(	const Period &	swapTenor,
		const ext::shared_ptr< SwapIndex > &	swapIndex,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Spread	iborSpread = 0.0,
		const Period &	forwardStart = 0*Days
	)

Definition at line 33 of file makecms.cpp.

MakeCms() [2/2]

MakeCms	(	const Period &	swapTenor,
		const ext::shared_ptr< SwapIndex > &	swapIndex,
		Spread	iborSpread = 0.0,
		const Period &	forwardStart = 0*Days
	)

Definition at line 58 of file makecms.cpp.

Member Function Documentation

operator Swap()

operator Swap

(

)

const

Definition at line 80 of file makecms.cpp.

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operator ext::shared_ptr< Swap >()

operator ext::shared_ptr< Swap >

(

)

const

Definition at line 85 of file makecms.cpp.

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receiveCms()

MakeCms & receiveCms

(

bool

flag = true

)

Definition at line 172 of file makecms.cpp.

withNominal()

MakeCms & withNominal

(

Real

n

)

Definition at line 177 of file makecms.cpp.

withEffectiveDate()

MakeCms & withEffectiveDate

(

const Date &

effectiveDate

)

Definition at line 183 of file makecms.cpp.

withCmsLegTenor()

MakeCms & withCmsLegTenor

(

const Period &

t

)

Definition at line 200 of file makecms.cpp.

withCmsLegCalendar()

MakeCms & withCmsLegCalendar

(

const Calendar &

cal

)

Definition at line 206 of file makecms.cpp.

withCmsLegConvention()

MakeCms & withCmsLegConvention

(

BusinessDayConvention

bdc

)

Definition at line 212 of file makecms.cpp.

withCmsLegTerminationDateConvention()

MakeCms & withCmsLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 218 of file makecms.cpp.

withCmsLegRule()

MakeCms & withCmsLegRule

(

DateGeneration::Rule

r

)

Definition at line 223 of file makecms.cpp.

withCmsLegEndOfMonth()

MakeCms & withCmsLegEndOfMonth

(

bool

flag = true

)

Definition at line 228 of file makecms.cpp.

withCmsLegFirstDate()

MakeCms & withCmsLegFirstDate

(

const Date &

d

)

Definition at line 233 of file makecms.cpp.

withCmsLegNextToLastDate()

MakeCms & withCmsLegNextToLastDate

(

const Date &

d

)

Definition at line 239 of file makecms.cpp.

withCmsLegDayCount()

MakeCms & withCmsLegDayCount

(

const DayCounter &

dc

)

Definition at line 245 of file makecms.cpp.

withFloatingLegTenor()

MakeCms & withFloatingLegTenor

(

const Period &

t

)

Definition at line 250 of file makecms.cpp.

withFloatingLegCalendar()

MakeCms & withFloatingLegCalendar

(

const Calendar &

cal

)

Definition at line 256 of file makecms.cpp.

withFloatingLegConvention()

MakeCms & withFloatingLegConvention

(

BusinessDayConvention

bdc

)

Definition at line 262 of file makecms.cpp.

withFloatingLegTerminationDateConvention()

MakeCms & withFloatingLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 268 of file makecms.cpp.

withFloatingLegRule()

MakeCms & withFloatingLegRule

(

DateGeneration::Rule

r

)

Definition at line 273 of file makecms.cpp.

withFloatingLegEndOfMonth()

MakeCms & withFloatingLegEndOfMonth

(

bool

flag = true

)

Definition at line 278 of file makecms.cpp.

withFloatingLegFirstDate()

MakeCms & withFloatingLegFirstDate

(

const Date &

d

)

Definition at line 284 of file makecms.cpp.

withFloatingLegNextToLastDate()

MakeCms & withFloatingLegNextToLastDate

(

const Date &

d

)

Definition at line 290 of file makecms.cpp.

withFloatingLegDayCount()

MakeCms & withFloatingLegDayCount

(

const DayCounter &

dc

)

Definition at line 296 of file makecms.cpp.

withAtmSpread()

MakeCms & withAtmSpread

(

bool

flag = true

)

Definition at line 301 of file makecms.cpp.

withDiscountingTermStructure()

MakeCms & withDiscountingTermStructure

(

const Handle< YieldTermStructure > &

discountingTermStructure

)

Definition at line 188 of file makecms.cpp.

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withCmsCouponPricer()

MakeCms & withCmsCouponPricer

(

const ext::shared_ptr< CmsCouponPricer > &

couponPricer

)

Definition at line 194 of file makecms.cpp.

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Member Data Documentation

swapTenor_

Period swapTenor_

private

Definition at line 89 of file makecms.hpp.

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 90 of file makecms.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 91 of file makecms.hpp.

iborSpread_

Spread iborSpread_

private

Definition at line 92 of file makecms.hpp.

useAtmSpread_

bool useAtmSpread_

private

Definition at line 93 of file makecms.hpp.

forwardStart_

Period forwardStart_

private

Definition at line 94 of file makecms.hpp.

cmsSpread_

Spread cmsSpread_

private

Definition at line 96 of file makecms.hpp.

cmsGearing_

Real cmsGearing_

private

Definition at line 97 of file makecms.hpp.

cmsCap_

Rate cmsCap_

private

Definition at line 98 of file makecms.hpp.

cmsFloor_

Rate cmsFloor_

private

Definition at line 98 of file makecms.hpp.

effectiveDate_

Date effectiveDate_

private

Definition at line 100 of file makecms.hpp.

cmsCalendar_

Calendar cmsCalendar_

private

Definition at line 101 of file makecms.hpp.

floatCalendar_

Calendar floatCalendar_

private

Definition at line 101 of file makecms.hpp.

payCms_

bool payCms_

private

Definition at line 103 of file makecms.hpp.

nominal_

Real nominal_

private

Definition at line 104 of file makecms.hpp.

cmsTenor_

Period cmsTenor_

private

Definition at line 105 of file makecms.hpp.

floatTenor_

Period floatTenor_

private

Definition at line 105 of file makecms.hpp.

cmsConvention_

BusinessDayConvention cmsConvention_

private

Definition at line 106 of file makecms.hpp.

cmsTerminationDateConvention_

BusinessDayConvention cmsTerminationDateConvention_

private

Definition at line 106 of file makecms.hpp.

floatConvention_

BusinessDayConvention floatConvention_

private

Definition at line 107 of file makecms.hpp.

floatTerminationDateConvention_

BusinessDayConvention floatTerminationDateConvention_

private

Definition at line 107 of file makecms.hpp.

cmsRule_

DateGeneration::Rule cmsRule_

private

Definition at line 108 of file makecms.hpp.

floatRule_

DateGeneration::Rule floatRule_

private

Definition at line 108 of file makecms.hpp.

cmsEndOfMonth_

bool cmsEndOfMonth_

private

Definition at line 109 of file makecms.hpp.

floatEndOfMonth_

bool floatEndOfMonth_

private

Definition at line 109 of file makecms.hpp.

cmsFirstDate_

Date cmsFirstDate_

private

Definition at line 110 of file makecms.hpp.

cmsNextToLastDate_

Date cmsNextToLastDate_

private

Definition at line 110 of file makecms.hpp.

floatFirstDate_

Date floatFirstDate_

private

Definition at line 111 of file makecms.hpp.

floatNextToLastDate_

Date floatNextToLastDate_

private

Definition at line 111 of file makecms.hpp.

cmsDayCount_

DayCounter cmsDayCount_

private

Definition at line 112 of file makecms.hpp.

floatDayCount_

DayCounter floatDayCount_

private

Definition at line 112 of file makecms.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 114 of file makecms.hpp.

couponPricer_

ext::shared_ptr<CmsCouponPricer> couponPricer_

private

Definition at line 115 of file makecms.hpp.