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

helper class building a sequence of fixed rate coupons More...

#include <fixedratecoupon.hpp>

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Public Member Functions

 FixedRateLeg (Schedule schedule)
 
FixedRateLegwithNotionals (Real)
 
FixedRateLegwithNotionals (const std::vector< Real > &)
 
FixedRateLegwithCouponRates (Rate, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
 
FixedRateLegwithCouponRates (const std::vector< Rate > &, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
 
FixedRateLegwithCouponRates (const InterestRate &)
 
FixedRateLegwithCouponRates (const std::vector< InterestRate > &)
 
FixedRateLegwithPaymentAdjustment (BusinessDayConvention)
 
FixedRateLegwithFirstPeriodDayCounter (const DayCounter &)
 
FixedRateLegwithLastPeriodDayCounter (const DayCounter &)
 
FixedRateLegwithPaymentCalendar (const Calendar &)
 
FixedRateLegwithPaymentLag (Integer lag)
 
FixedRateLegwithExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
 
 operator Leg () const
 

Private Attributes

Schedule schedule_
 
std::vector< Realnotionals_
 
std::vector< InterestRatecouponRates_
 
DayCounter firstPeriodDC_
 
DayCounter lastPeriodDC_
 
Calendar paymentCalendar_
 
BusinessDayConvention paymentAdjustment_ = Following
 
Integer paymentLag_ = 0
 
Period exCouponPeriod_
 
Calendar exCouponCalendar_
 
BusinessDayConvention exCouponAdjustment_ = Following
 
bool exCouponEndOfMonth_ = false
 

Detailed Description

helper class building a sequence of fixed rate coupons

Definition at line 90 of file fixedratecoupon.hpp.

Constructor & Destructor Documentation

◆ FixedRateLeg()

FixedRateLeg ( Schedule  schedule)

Definition at line 92 of file fixedratecoupon.cpp.

Member Function Documentation

◆ withNotionals() [1/2]

FixedRateLeg & withNotionals ( Real  notional)

Definition at line 95 of file fixedratecoupon.cpp.

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◆ withNotionals() [2/2]

FixedRateLeg & withNotionals ( const std::vector< Real > &  notionals)

Definition at line 100 of file fixedratecoupon.cpp.

◆ withCouponRates() [1/4]

FixedRateLeg & withCouponRates ( Rate  rate,
const DayCounter paymentDayCounter,
Compounding  comp = Simple,
Frequency  freq = Annual 
)

Definition at line 105 of file fixedratecoupon.cpp.

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◆ withCouponRates() [2/4]

FixedRateLeg & withCouponRates ( const std::vector< Rate > &  rates,
const DayCounter paymentDayCounter,
Compounding  comp = Simple,
Frequency  freq = Annual 
)

Definition at line 120 of file fixedratecoupon.cpp.

◆ withCouponRates() [3/4]

FixedRateLeg & withCouponRates ( const InterestRate i)

Definition at line 114 of file fixedratecoupon.cpp.

◆ withCouponRates() [4/4]

FixedRateLeg & withCouponRates ( const std::vector< InterestRate > &  interestRates)

Definition at line 130 of file fixedratecoupon.cpp.

◆ withPaymentAdjustment()

FixedRateLeg & withPaymentAdjustment ( BusinessDayConvention  convention)

Definition at line 136 of file fixedratecoupon.cpp.

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◆ withFirstPeriodDayCounter()

FixedRateLeg & withFirstPeriodDayCounter ( const DayCounter dayCounter)

Definition at line 142 of file fixedratecoupon.cpp.

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◆ withLastPeriodDayCounter()

FixedRateLeg & withLastPeriodDayCounter ( const DayCounter dayCounter)

Definition at line 148 of file fixedratecoupon.cpp.

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◆ withPaymentCalendar()

FixedRateLeg & withPaymentCalendar ( const Calendar cal)

Definition at line 154 of file fixedratecoupon.cpp.

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◆ withPaymentLag()

FixedRateLeg & withPaymentLag ( Integer  lag)

Definition at line 159 of file fixedratecoupon.cpp.

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◆ withExCouponPeriod()

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

Definition at line 164 of file fixedratecoupon.cpp.

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◆ operator Leg()

operator Leg ( ) const

Definition at line 176 of file fixedratecoupon.cpp.

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Member Data Documentation

◆ schedule_

Schedule schedule_
private

Definition at line 116 of file fixedratecoupon.hpp.

◆ notionals_

std::vector<Real> notionals_
private

Definition at line 117 of file fixedratecoupon.hpp.

◆ couponRates_

std::vector<InterestRate> couponRates_
private

Definition at line 118 of file fixedratecoupon.hpp.

◆ firstPeriodDC_

DayCounter firstPeriodDC_
private

Definition at line 119 of file fixedratecoupon.hpp.

◆ lastPeriodDC_

DayCounter lastPeriodDC_
private

Definition at line 119 of file fixedratecoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_
private

Definition at line 120 of file fixedratecoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following
private

Definition at line 121 of file fixedratecoupon.hpp.

◆ paymentLag_

Integer paymentLag_ = 0
private

Definition at line 122 of file fixedratecoupon.hpp.

◆ exCouponPeriod_

Period exCouponPeriod_
private

Definition at line 123 of file fixedratecoupon.hpp.

◆ exCouponCalendar_

Calendar exCouponCalendar_
private

Definition at line 124 of file fixedratecoupon.hpp.

◆ exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Following
private

Definition at line 125 of file fixedratecoupon.hpp.

◆ exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false
private

Definition at line 126 of file fixedratecoupon.hpp.