QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Attributes | List of all members
SwapCashFlows Class Reference

#include <swaptioncfs.hpp>

+ Inheritance diagram for SwapCashFlows:
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Public Member Functions

 SwapCashFlows (const ext::shared_ptr< FixedVsFloatingSwap > &swap, const Handle< YieldTermStructure > &discountCurve, bool contTenorSpread=true)
 
 SwapCashFlows ()=default
 
const LegfixedLeg () 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 LegfloatLeg () 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

Leg fixedLeg_
 
std::vector< RealfixedTimes_
 
std::vector< RealfixedWeights_
 
std::vector< RealannuityWeights_
 
- Protected Attributes inherited from IborLegCashFlows
Date refDate_
 
Leg floatLeg_
 
std::vector< RealfloatTimes_
 
std::vector< RealfloatWeights_
 

Detailed Description

Definition at line 53 of file swaptioncfs.hpp.

Constructor & Destructor Documentation

◆ SwapCashFlows() [1/2]

SwapCashFlows ( const ext::shared_ptr< FixedVsFloatingSwap > &  swap,
const Handle< YieldTermStructure > &  discountCurve,
bool  contTenorSpread = true 
)

Definition at line 94 of file swaptioncfs.cpp.

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◆ SwapCashFlows() [2/2]

SwapCashFlows ( )
default

Member Function Documentation

◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 68 of file swaptioncfs.hpp.

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◆ fixedTimes()

const std::vector< Real > & fixedTimes ( ) const

Definition at line 69 of file swaptioncfs.hpp.

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◆ fixedWeights()

const std::vector< Real > & fixedWeights ( ) const

Definition at line 70 of file swaptioncfs.hpp.

◆ annuityWeights()

const std::vector< Real > & annuityWeights ( ) const

Definition at line 71 of file swaptioncfs.hpp.

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Member Data Documentation

◆ fixedLeg_

Leg fixedLeg_
protected

Definition at line 56 of file swaptioncfs.hpp.

◆ fixedTimes_

std::vector<Real> fixedTimes_
protected

Definition at line 57 of file swaptioncfs.hpp.

◆ fixedWeights_

std::vector<Real> fixedWeights_
protected

Definition at line 58 of file swaptioncfs.hpp.

◆ annuityWeights_

std::vector<Real> annuityWeights_
protected

Definition at line 59 of file swaptioncfs.hpp.