QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <swaptioncfs.hpp>
Public Member Functions | |
SwaptionCashFlows (const ext::shared_ptr< Swaption > &swaption, const Handle< YieldTermStructure > &discountCurve, bool contTenorSpread=true) | |
SwaptionCashFlows ()=default | |
ext::shared_ptr< Swaption > | swaption () const |
const std::vector< Real > & | exerciseTimes () const |
Public Member Functions inherited from SwapCashFlows | |
SwapCashFlows (const ext::shared_ptr< FixedVsFloatingSwap > &swap, const Handle< YieldTermStructure > &discountCurve, bool contTenorSpread=true) | |
SwapCashFlows ()=default | |
const Leg & | fixedLeg () const |
const std::vector< Real > & | fixedTimes () const |
const std::vector< Real > & | fixedWeights () const |
const std::vector< Real > & | annuityWeights () const |
Public Member Functions inherited from IborLegCashFlows | |
const Leg & | floatLeg () const |
const std::vector< Real > & | floatTimes () const |
const std::vector< Real > & | floatWeights () const |
IborLegCashFlows (const Leg &iborLeg, const Handle< YieldTermStructure > &discountCurve, bool contTenorSpread=true) | |
IborLegCashFlows ()=default | |
Protected Attributes | |
ext::shared_ptr< Swaption > | swaption_ |
std::vector< Real > | exerciseTimes_ |
Protected Attributes inherited from SwapCashFlows | |
Leg | fixedLeg_ |
std::vector< Real > | fixedTimes_ |
std::vector< Real > | fixedWeights_ |
std::vector< Real > | annuityWeights_ |
Protected Attributes inherited from IborLegCashFlows | |
Date | refDate_ |
Leg | floatLeg_ |
std::vector< Real > | floatTimes_ |
std::vector< Real > | floatWeights_ |
Definition at line 75 of file swaptioncfs.hpp.
SwaptionCashFlows | ( | const ext::shared_ptr< Swaption > & | swaption, |
const Handle< YieldTermStructure > & | discountCurve, | ||
bool | contTenorSpread = true |
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default |
ext::shared_ptr< Swaption > swaption | ( | ) | const |
Definition at line 87 of file swaptioncfs.hpp.
const std::vector< Real > & exerciseTimes | ( | ) | const |
Definition at line 88 of file swaptioncfs.hpp.
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protected |
Definition at line 77 of file swaptioncfs.hpp.
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protected |
Definition at line 78 of file swaptioncfs.hpp.