CmsLeg Class Reference

helper class building a sequence of capped/floored cms-rate coupons More...

#include <cmscoupon.hpp>

Collaboration diagram for CmsLeg:

Public Member Functions
	CmsLeg (Schedule schedule, ext::shared_ptr< SwapIndex > swapIndex)
CmsLeg &	withNotionals (Real notional)
CmsLeg &	withNotionals (const std::vector< Real > &notionals)
CmsLeg &	withPaymentDayCounter (const DayCounter &)
CmsLeg &	withPaymentAdjustment (BusinessDayConvention)
CmsLeg &	withFixingDays (Natural fixingDays)
CmsLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
CmsLeg &	withGearings (Real gearing)
CmsLeg &	withGearings (const std::vector< Real > &gearings)
CmsLeg &	withSpreads (Spread spread)
CmsLeg &	withSpreads (const std::vector< Spread > &spreads)
CmsLeg &	withCaps (Rate cap)
CmsLeg &	withCaps (const std::vector< Rate > &caps)
CmsLeg &	withFloors (Rate floor)
CmsLeg &	withFloors (const std::vector< Rate > &floors)
CmsLeg &	inArrears (bool flag=true)
CmsLeg &	withZeroPayments (bool flag=true)
CmsLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< SwapIndex >	swapIndex_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	caps_
std::vector< Rate >	floors_
bool	inArrears_ = false
bool	zeroPayments_ = false
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Following
bool	exCouponEndOfMonth_ = false

Detailed Description

helper class building a sequence of capped/floored cms-rate coupons

Definition at line 70 of file cmscoupon.hpp.

Constructor & Destructor Documentation

CmsLeg()

CmsLeg	(	Schedule	schedule,
		ext::shared_ptr< SwapIndex >	swapIndex
	)

Definition at line 57 of file cmscoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

CmsLeg & withNotionals

(

Real

notional

)

Definition at line 62 of file cmscoupon.cpp.

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withNotionals() [2/2]

CmsLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 67 of file cmscoupon.cpp.

withPaymentDayCounter()

CmsLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 72 of file cmscoupon.cpp.

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withPaymentAdjustment()

CmsLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 77 of file cmscoupon.cpp.

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withFixingDays() [1/2]

CmsLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 82 of file cmscoupon.cpp.

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withFixingDays() [2/2]

CmsLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 87 of file cmscoupon.cpp.

withGearings() [1/2]

CmsLeg & withGearings

(

Real

gearing

)

Definition at line 92 of file cmscoupon.cpp.

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withGearings() [2/2]

CmsLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 97 of file cmscoupon.cpp.

withSpreads() [1/2]

CmsLeg & withSpreads

(

Spread

spread

)

Definition at line 102 of file cmscoupon.cpp.

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withSpreads() [2/2]

CmsLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 107 of file cmscoupon.cpp.

withCaps() [1/2]

CmsLeg & withCaps

(

Rate

cap

)

Definition at line 112 of file cmscoupon.cpp.

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withCaps() [2/2]

CmsLeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 117 of file cmscoupon.cpp.

withFloors() [1/2]

CmsLeg & withFloors

(

Rate

floor

)

Definition at line 122 of file cmscoupon.cpp.

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withFloors() [2/2]

CmsLeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 127 of file cmscoupon.cpp.

inArrears()

CmsLeg & inArrears

(

bool

flag = true

)

Definition at line 132 of file cmscoupon.cpp.

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withZeroPayments()

CmsLeg & withZeroPayments

(

bool

flag = true

)

Definition at line 137 of file cmscoupon.cpp.

withExCouponPeriod()

CmsLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth
	)

Definition at line 142 of file cmscoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 154 of file cmscoupon.cpp.

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 95 of file cmscoupon.hpp.

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 96 of file cmscoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 97 of file cmscoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 98 of file cmscoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 99 of file cmscoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 100 of file cmscoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 101 of file cmscoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 102 of file cmscoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 103 of file cmscoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 103 of file cmscoupon.hpp.

inArrears_

bool inArrears_ = false

private

Definition at line 104 of file cmscoupon.hpp.

zeroPayments_

bool zeroPayments_ = false

private

Definition at line 104 of file cmscoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 105 of file cmscoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 106 of file cmscoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Following

private

Definition at line 107 of file cmscoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 108 of file cmscoupon.hpp.