27#ifndef quantlib_irregular_swap_hpp
28#define quantlib_irregular_swap_hpp
110 void reset()
override;
114 IrregularSwap::results> {};
template base class for option pricing engines
Arguments for irregular-swap calculation
std::vector< Date > floatingResetDates
std::vector< Real > floatingNominals
std::vector< Spread > floatingSpreads
std::vector< Real > fixedNominals
std::vector< Date > floatingFixingDates
std::vector< Date > fixedPayDates
std::vector< Date > fixedResetDates
void validate() const override
std::vector< Real > floatingCoupons
std::vector< Time > floatingAccrualTimes
std::vector< Real > fixedCoupons
std::vector< Date > floatingPayDates
Results from irregular-swap calculation
Irregular swap: fixed vs floating leg.
const Leg & floatingLeg() const
Spread fairSpread() const
Real floatingLegBPS() const
void setupArguments(PricingEngine::arguments *args) const override
const Leg & fixedLeg() const
void setupExpired() const override
Real floatingLegNPV() const
void fetchResults(const PricingEngine::results *) const override
Coupon paying a fixed annual rate.
Real Spread
spreads on interest rates
Coupon paying a Libor-type index.
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.