MakeCapFloor Class Reference

helper class More...

#include <makecapfloor.hpp>

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Public Member Functions
	MakeCapFloor (CapFloor::Type capFloorType, const Period &capFloorTenor, const ext::shared_ptr< IborIndex > &iborIndex, Rate strike=Null< Rate >(), const Period &forwardStart=0 *Days)
	operator CapFloor () const
	operator ext::shared_ptr< CapFloor > () const
MakeCapFloor &	withNominal (Real n)
MakeCapFloor &	withEffectiveDate (const Date &effectiveDate, bool firstCapletExcluded)
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 More...
MakeCapFloor &	withPricingEngine (const ext::shared_ptr< PricingEngine > &engine)

Private Attributes
CapFloor::Type	capFloorType_
Rate	strike_
bool	firstCapletExcluded_
bool	asOptionlet_ = false
MakeVanillaSwap	makeVanillaSwap_
ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard market cap and floor.

Definition at line 37 of file makecapfloor.hpp.

Constructor & Destructor Documentation

MakeCapFloor()

MakeCapFloor	(	CapFloor::Type	capFloorType,
		const Period &	capFloorTenor,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Rate	strike = Null<Rate>(),
		const Period &	forwardStart = 0*Days
	)

Definition at line 27 of file makecapfloor.cpp.

Member Function Documentation

operator CapFloor()

operator CapFloor

(

)

const

Definition at line 40 of file makecapfloor.cpp.

operator ext::shared_ptr< CapFloor >()

operator ext::shared_ptr< CapFloor >

(

)

const

Definition at line 45 of file makecapfloor.cpp.

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withNominal()

MakeCapFloor & withNominal

(

Real

n

)

Definition at line 81 of file makecapfloor.cpp.

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withEffectiveDate()

MakeCapFloor & withEffectiveDate	(	const Date &	effectiveDate,
		bool	firstCapletExcluded
	)

Definition at line 86 of file makecapfloor.cpp.

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withTenor()

MakeCapFloor & withTenor

(

const Period &

t

)

Definition at line 93 of file makecapfloor.cpp.

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withCalendar()

MakeCapFloor & withCalendar

(

const Calendar &

cal

)

Definition at line 99 of file makecapfloor.cpp.

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withConvention()

MakeCapFloor & withConvention

(

BusinessDayConvention

bdc

)

Definition at line 105 of file makecapfloor.cpp.

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withTerminationDateConvention()

MakeCapFloor & withTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 112 of file makecapfloor.cpp.

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withRule()

MakeCapFloor & withRule

(

DateGeneration::Rule

r

)

Definition at line 118 of file makecapfloor.cpp.

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withEndOfMonth()

MakeCapFloor & withEndOfMonth

(

bool

flag = true

)

Definition at line 123 of file makecapfloor.cpp.

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withFirstDate()

MakeCapFloor & withFirstDate

(

const Date &

d

)

Definition at line 129 of file makecapfloor.cpp.

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withNextToLastDate()

MakeCapFloor & withNextToLastDate

(

const Date &

d

)

Definition at line 134 of file makecapfloor.cpp.

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withDayCount()

MakeCapFloor & withDayCount

(

const DayCounter &

dc

)

Definition at line 139 of file makecapfloor.cpp.

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asOptionlet()

MakeCapFloor & asOptionlet

(

bool

b = true

)

only get last coupon

Definition at line 144 of file makecapfloor.cpp.

withPricingEngine()

MakeCapFloor & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 149 of file makecapfloor.cpp.

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Member Data Documentation

capFloorType_

CapFloor::Type capFloorType_

private

Definition at line 67 of file makecapfloor.hpp.

strike_

Rate strike_

private

Definition at line 68 of file makecapfloor.hpp.

firstCapletExcluded_

bool firstCapletExcluded_

private

Definition at line 69 of file makecapfloor.hpp.

asOptionlet_

bool asOptionlet_ = false

private

Definition at line 69 of file makecapfloor.hpp.

makeVanillaSwap_

MakeVanillaSwap makeVanillaSwap_

private

Definition at line 71 of file makecapfloor.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 73 of file makecapfloor.hpp.