QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class building a sequence of fixed rate coupons More...
#include <fixedratecoupon.hpp>
Public Member Functions | |
FixedRateLeg (Schedule schedule) | |
FixedRateLeg & | withNotionals (Real) |
FixedRateLeg & | withNotionals (const std::vector< Real > &) |
FixedRateLeg & | withCouponRates (Rate, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual) |
FixedRateLeg & | withCouponRates (const std::vector< Rate > &, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual) |
FixedRateLeg & | withCouponRates (const InterestRate &) |
FixedRateLeg & | withCouponRates (const std::vector< InterestRate > &) |
FixedRateLeg & | withPaymentAdjustment (BusinessDayConvention) |
FixedRateLeg & | withFirstPeriodDayCounter (const DayCounter &) |
FixedRateLeg & | withLastPeriodDayCounter (const DayCounter &) |
FixedRateLeg & | withPaymentCalendar (const Calendar &) |
FixedRateLeg & | withPaymentLag (Integer lag) |
FixedRateLeg & | withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false) |
operator Leg () const | |
Private Attributes | |
Schedule | schedule_ |
std::vector< Real > | notionals_ |
std::vector< InterestRate > | couponRates_ |
DayCounter | firstPeriodDC_ |
DayCounter | lastPeriodDC_ |
Calendar | paymentCalendar_ |
BusinessDayConvention | paymentAdjustment_ = Following |
Integer | paymentLag_ = 0 |
Period | exCouponPeriod_ |
Calendar | exCouponCalendar_ |
BusinessDayConvention | exCouponAdjustment_ = Following |
bool | exCouponEndOfMonth_ = false |
helper class building a sequence of fixed rate coupons
Definition at line 90 of file fixedratecoupon.hpp.
FixedRateLeg | ( | Schedule | schedule | ) |
Definition at line 92 of file fixedratecoupon.cpp.
FixedRateLeg & withNotionals | ( | Real | notional | ) |
FixedRateLeg & withNotionals | ( | const std::vector< Real > & | notionals | ) |
Definition at line 100 of file fixedratecoupon.cpp.
FixedRateLeg & withCouponRates | ( | Rate | rate, |
const DayCounter & | paymentDayCounter, | ||
Compounding | comp = Simple , |
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Frequency | freq = Annual |
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FixedRateLeg & withCouponRates | ( | const std::vector< Rate > & | rates, |
const DayCounter & | paymentDayCounter, | ||
Compounding | comp = Simple , |
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Frequency | freq = Annual |
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Definition at line 120 of file fixedratecoupon.cpp.
FixedRateLeg & withCouponRates | ( | const InterestRate & | i | ) |
Definition at line 114 of file fixedratecoupon.cpp.
FixedRateLeg & withCouponRates | ( | const std::vector< InterestRate > & | interestRates | ) |
Definition at line 130 of file fixedratecoupon.cpp.
FixedRateLeg & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
FixedRateLeg & withFirstPeriodDayCounter | ( | const DayCounter & | dayCounter | ) |
FixedRateLeg & withLastPeriodDayCounter | ( | const DayCounter & | dayCounter | ) |
FixedRateLeg & withPaymentCalendar | ( | const Calendar & | cal | ) |
FixedRateLeg & withPaymentLag | ( | Integer | lag | ) |
FixedRateLeg & withExCouponPeriod | ( | const Period & | period, |
const Calendar & | cal, | ||
BusinessDayConvention | convention, | ||
bool | endOfMonth = false |
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operator Leg | ( | ) | const |
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Definition at line 116 of file fixedratecoupon.hpp.
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Definition at line 117 of file fixedratecoupon.hpp.
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Definition at line 118 of file fixedratecoupon.hpp.
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Definition at line 119 of file fixedratecoupon.hpp.
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Definition at line 119 of file fixedratecoupon.hpp.
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Definition at line 120 of file fixedratecoupon.hpp.
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Definition at line 121 of file fixedratecoupon.hpp.
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Definition at line 122 of file fixedratecoupon.hpp.
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Definition at line 123 of file fixedratecoupon.hpp.
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Definition at line 124 of file fixedratecoupon.hpp.
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Definition at line 125 of file fixedratecoupon.hpp.
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Definition at line 126 of file fixedratecoupon.hpp.