QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class More...
#include <makecapfloor.hpp>
Private Attributes | |
CapFloor::Type | capFloorType_ |
Rate | strike_ |
bool | firstCapletExcluded_ |
bool | asOptionlet_ = false |
MakeVanillaSwap | makeVanillaSwap_ |
ext::shared_ptr< PricingEngine > | engine_ |
helper class
This class provides a more comfortable way to instantiate standard market cap and floor.
Definition at line 37 of file makecapfloor.hpp.
MakeCapFloor | ( | CapFloor::Type | capFloorType, |
const Period & | capFloorTenor, | ||
const ext::shared_ptr< IborIndex > & | iborIndex, | ||
Rate | strike = Null<Rate>() , |
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const Period & | forwardStart = 0*Days |
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Definition at line 27 of file makecapfloor.cpp.
operator CapFloor | ( | ) | const |
Definition at line 40 of file makecapfloor.cpp.
operator ext::shared_ptr< CapFloor > | ( | ) | const |
MakeCapFloor & withNominal | ( | Real | n | ) |
MakeCapFloor & withEffectiveDate | ( | const Date & | effectiveDate, |
bool | firstCapletExcluded | ||
) |
Definition at line 86 of file makecapfloor.cpp.
MakeCapFloor & withTenor | ( | const Period & | t | ) |
MakeCapFloor & withCalendar | ( | const Calendar & | cal | ) |
MakeCapFloor & withConvention | ( | BusinessDayConvention | bdc | ) |
MakeCapFloor & withTerminationDateConvention | ( | BusinessDayConvention | bdc | ) |
MakeCapFloor & withRule | ( | DateGeneration::Rule | r | ) |
MakeCapFloor & withEndOfMonth | ( | bool | flag = true | ) |
MakeCapFloor & withFirstDate | ( | const Date & | d | ) |
MakeCapFloor & withNextToLastDate | ( | const Date & | d | ) |
MakeCapFloor & withDayCount | ( | const DayCounter & | dc | ) |
MakeCapFloor & asOptionlet | ( | bool | b = true | ) |
only get last coupon
Definition at line 144 of file makecapfloor.cpp.
MakeCapFloor & withPricingEngine | ( | const ext::shared_ptr< PricingEngine > & | engine | ) |
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Definition at line 67 of file makecapfloor.hpp.
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Definition at line 68 of file makecapfloor.hpp.
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Definition at line 69 of file makecapfloor.hpp.
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Definition at line 69 of file makecapfloor.hpp.
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Definition at line 71 of file makecapfloor.hpp.
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Definition at line 73 of file makecapfloor.hpp.