MakeCreditDefaultSwap Class Reference

helper class More...

#include <makecds.hpp>

Collaboration diagram for MakeCreditDefaultSwap:

Public Member Functions
	MakeCreditDefaultSwap (const Period &tenor, Real couponRate)
	MakeCreditDefaultSwap (const Date &termDate, Real couponRate)
	operator CreditDefaultSwap () const
	operator ext::shared_ptr< CreditDefaultSwap > () const
MakeCreditDefaultSwap &	withUpfrontRate (Real)
MakeCreditDefaultSwap &	withSide (Protection::Side)
MakeCreditDefaultSwap &	withNominal (Real)
MakeCreditDefaultSwap &	withCouponTenor (Period)
MakeCreditDefaultSwap &	withDayCounter (DayCounter &)
MakeCreditDefaultSwap &	withLastPeriodDayCounter (DayCounter &)
MakeCreditDefaultSwap &	withDateGenerationRule (DateGeneration::Rule rule)
MakeCreditDefaultSwap &	withCashSettlementDays (Natural cashSettlementDays)
MakeCreditDefaultSwap &	withPricingEngine (const ext::shared_ptr< PricingEngine > &)
MakeCreditDefaultSwap &	withTradeDate (const Date &tradeDate)

Private Attributes
Protection::Side	side_
Real	nominal_
ext::optional< Period >	tenor_
ext::optional< Date >	termDate_
Period	couponTenor_
Real	couponRate_
Real	upfrontRate_
DayCounter	dayCounter_
DayCounter	lastPeriodDayCounter_
DateGeneration::Rule	rule_
Natural	cashSettlementDays_
Date	tradeDate_
ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard cds.

Definition at line 37 of file makecds.hpp.

Constructor & Destructor Documentation

MakeCreditDefaultSwap() [1/2]

MakeCreditDefaultSwap	(	const Period &	tenor,
		Real	couponRate
	)

Definition at line 28 of file makecds.cpp.

MakeCreditDefaultSwap() [2/2]

MakeCreditDefaultSwap	(	const Date &	termDate,
		Real	couponRate
	)

Definition at line 35 of file makecds.cpp.

Member Function Documentation

operator CreditDefaultSwap()

operator CreditDefaultSwap

(

)

const

Definition at line 42 of file makecds.cpp.

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operator ext::shared_ptr< CreditDefaultSwap >()

operator ext::shared_ptr< CreditDefaultSwap >

(

)

const

Definition at line 47 of file makecds.cpp.

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withUpfrontRate()

MakeCreditDefaultSwap & withUpfrontRate

(

Real

upfrontRate

)

Definition at line 85 of file makecds.cpp.

withSide()

MakeCreditDefaultSwap & withSide

(

Protection::Side

side

)

Definition at line 91 of file makecds.cpp.

withNominal()

MakeCreditDefaultSwap & withNominal

(

Real

nominal

)

Definition at line 96 of file makecds.cpp.

withCouponTenor()

MakeCreditDefaultSwap & withCouponTenor

(

Period

couponTenor

)

Definition at line 102 of file makecds.cpp.

withDayCounter()

MakeCreditDefaultSwap & withDayCounter

(

DayCounter &

dayCounter

)

Definition at line 108 of file makecds.cpp.

withLastPeriodDayCounter()

MakeCreditDefaultSwap & withLastPeriodDayCounter

(

DayCounter &

lastPeriodDayCounter

)

Definition at line 113 of file makecds.cpp.

withDateGenerationRule()

MakeCreditDefaultSwap & withDateGenerationRule

(

DateGeneration::Rule

rule

)

Definition at line 119 of file makecds.cpp.

withCashSettlementDays()

MakeCreditDefaultSwap & withCashSettlementDays

(

Natural

cashSettlementDays

)

Definition at line 124 of file makecds.cpp.

withPricingEngine()

MakeCreditDefaultSwap & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 129 of file makecds.cpp.

withTradeDate()

MakeCreditDefaultSwap & withTradeDate

(

const Date &

tradeDate

)

Definition at line 135 of file makecds.cpp.

Member Data Documentation

side_

Protection::Side side_

private

Definition at line 59 of file makecds.hpp.

nominal_

Real nominal_

private

Definition at line 60 of file makecds.hpp.

tenor_

ext::optional<Period> tenor_

private

Definition at line 61 of file makecds.hpp.

termDate_

ext::optional<Date> termDate_

private

Definition at line 62 of file makecds.hpp.

couponTenor_

Period couponTenor_

private

Definition at line 63 of file makecds.hpp.

couponRate_

Real couponRate_

private

Definition at line 64 of file makecds.hpp.

upfrontRate_

Real upfrontRate_

private

Definition at line 65 of file makecds.hpp.

dayCounter_

DayCounter dayCounter_

private

Definition at line 66 of file makecds.hpp.

lastPeriodDayCounter_

DayCounter lastPeriodDayCounter_

private

Definition at line 67 of file makecds.hpp.

rule_

DateGeneration::Rule rule_

private

Definition at line 68 of file makecds.hpp.

cashSettlementDays_

Natural cashSettlementDays_

private

Definition at line 69 of file makecds.hpp.

tradeDate_

Date tradeDate_

private

Definition at line 70 of file makecds.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 72 of file makecds.hpp.