RangeAccrualLeg Class Reference

helper class building a sequence of range-accrual floating-rate coupons More...

#include <rangeaccrual.hpp>

Collaboration diagram for RangeAccrualLeg:

Public Member Functions
	RangeAccrualLeg (Schedule schedule, ext::shared_ptr< IborIndex > index)
RangeAccrualLeg &	withNotionals (Real notional)
RangeAccrualLeg &	withNotionals (const std::vector< Real > &notionals)
RangeAccrualLeg &	withPaymentDayCounter (const DayCounter &)
RangeAccrualLeg &	withPaymentAdjustment (BusinessDayConvention)
RangeAccrualLeg &	withFixingDays (Natural fixingDays)
RangeAccrualLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
RangeAccrualLeg &	withGearings (Real gearing)
RangeAccrualLeg &	withGearings (const std::vector< Real > &gearings)
RangeAccrualLeg &	withSpreads (Spread spread)
RangeAccrualLeg &	withSpreads (const std::vector< Spread > &spreads)
RangeAccrualLeg &	withLowerTriggers (Rate trigger)
RangeAccrualLeg &	withLowerTriggers (const std::vector< Rate > &triggers)
RangeAccrualLeg &	withUpperTriggers (Rate trigger)
RangeAccrualLeg &	withUpperTriggers (const std::vector< Rate > &triggers)
RangeAccrualLeg &	withObservationTenor (const Period &)
RangeAccrualLeg &	withObservationConvention (BusinessDayConvention)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< IborIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	lowerTriggers_
std::vector< Rate >	upperTriggers_
Period	observationTenor_
BusinessDayConvention	observationConvention_ = ModifiedFollowing

Detailed Description

helper class building a sequence of range-accrual floating-rate coupons

Definition at line 197 of file rangeaccrual.hpp.

Constructor & Destructor Documentation

RangeAccrualLeg()

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

Definition at line 526 of file rangeaccrual.cpp.

Member Function Documentation

withNotionals() [1/2]

RangeAccrualLeg & withNotionals

(

Real

notional

)

Definition at line 529 of file rangeaccrual.cpp.

withNotionals() [2/2]

RangeAccrualLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 534 of file rangeaccrual.cpp.

withPaymentDayCounter()

RangeAccrualLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 540 of file rangeaccrual.cpp.

withPaymentAdjustment()

RangeAccrualLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 546 of file rangeaccrual.cpp.

withFixingDays() [1/2]

RangeAccrualLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 552 of file rangeaccrual.cpp.

withFixingDays() [2/2]

RangeAccrualLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 557 of file rangeaccrual.cpp.

withGearings() [1/2]

RangeAccrualLeg & withGearings

(

Real

gearing

)

Definition at line 563 of file rangeaccrual.cpp.

withGearings() [2/2]

RangeAccrualLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 568 of file rangeaccrual.cpp.

withSpreads() [1/2]

RangeAccrualLeg & withSpreads

(

Spread

spread

)

Definition at line 574 of file rangeaccrual.cpp.

withSpreads() [2/2]

RangeAccrualLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 579 of file rangeaccrual.cpp.

withLowerTriggers() [1/2]

RangeAccrualLeg & withLowerTriggers

(

Rate

trigger

)

Definition at line 585 of file rangeaccrual.cpp.

withLowerTriggers() [2/2]

RangeAccrualLeg & withLowerTriggers

(

const std::vector< Rate > &

triggers

)

Definition at line 590 of file rangeaccrual.cpp.

withUpperTriggers() [1/2]

RangeAccrualLeg & withUpperTriggers

(

Rate

trigger

)

Definition at line 596 of file rangeaccrual.cpp.

withUpperTriggers() [2/2]

RangeAccrualLeg & withUpperTriggers

(

const std::vector< Rate > &

triggers

)

Definition at line 601 of file rangeaccrual.cpp.

withObservationTenor()

RangeAccrualLeg & withObservationTenor

(

const Period &

tenor

)

Definition at line 607 of file rangeaccrual.cpp.

withObservationConvention()

RangeAccrualLeg & withObservationConvention

(

BusinessDayConvention

convention

)

Definition at line 613 of file rangeaccrual.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 619 of file rangeaccrual.cpp.

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 218 of file rangeaccrual.hpp.

index_

ext::shared_ptr<IborIndex> index_

private

Definition at line 219 of file rangeaccrual.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 220 of file rangeaccrual.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 221 of file rangeaccrual.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 222 of file rangeaccrual.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 223 of file rangeaccrual.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 224 of file rangeaccrual.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 225 of file rangeaccrual.hpp.

lowerTriggers_

std::vector<Rate> lowerTriggers_

private

Definition at line 226 of file rangeaccrual.hpp.

upperTriggers_

std::vector<Rate> upperTriggers_

private

Definition at line 226 of file rangeaccrual.hpp.

observationTenor_

Period observationTenor_

private

Definition at line 227 of file rangeaccrual.hpp.

observationConvention_

BusinessDayConvention observationConvention_ = ModifiedFollowing

private

Definition at line 228 of file rangeaccrual.hpp.