DigitalCmsSpreadLeg Class Reference

helper class building a sequence of digital ibor-rate coupons More...

#include <digitalcmsspreadcoupon.hpp>

Collaboration diagram for DigitalCmsSpreadLeg:

Public Member Functions
	DigitalCmsSpreadLeg (Schedule schedule, ext::shared_ptr< SwapSpreadIndex > index)
DigitalCmsSpreadLeg &	withNotionals (Real notional)
DigitalCmsSpreadLeg &	withNotionals (const std::vector< Real > &notionals)
DigitalCmsSpreadLeg &	withPaymentDayCounter (const DayCounter &)
DigitalCmsSpreadLeg &	withPaymentAdjustment (BusinessDayConvention)
DigitalCmsSpreadLeg &	withFixingDays (Natural fixingDays)
DigitalCmsSpreadLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
DigitalCmsSpreadLeg &	withGearings (Real gearing)
DigitalCmsSpreadLeg &	withGearings (const std::vector< Real > &gearings)
DigitalCmsSpreadLeg &	withSpreads (Spread spread)
DigitalCmsSpreadLeg &	withSpreads (const std::vector< Spread > &spreads)
DigitalCmsSpreadLeg &	inArrears (bool flag=true)
DigitalCmsSpreadLeg &	withCallStrikes (Rate strike)
DigitalCmsSpreadLeg &	withCallStrikes (const std::vector< Rate > &strikes)
DigitalCmsSpreadLeg &	withLongCallOption (Position::Type)
DigitalCmsSpreadLeg &	withCallATM (bool flag=true)
DigitalCmsSpreadLeg &	withCallPayoffs (Rate payoff)
DigitalCmsSpreadLeg &	withCallPayoffs (const std::vector< Rate > &payoffs)
DigitalCmsSpreadLeg &	withPutStrikes (Rate strike)
DigitalCmsSpreadLeg &	withPutStrikes (const std::vector< Rate > &strikes)
DigitalCmsSpreadLeg &	withLongPutOption (Position::Type)
DigitalCmsSpreadLeg &	withPutATM (bool flag=true)
DigitalCmsSpreadLeg &	withPutPayoffs (Rate payoff)
DigitalCmsSpreadLeg &	withPutPayoffs (const std::vector< Rate > &payoffs)
DigitalCmsSpreadLeg &	withReplication (const ext::shared_ptr< DigitalReplication > &)
DigitalCmsSpreadLeg &	withNakedOption (bool nakedOption=true)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< SwapSpreadIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
bool	inArrears_ = false
std::vector< Rate >	callStrikes_
std::vector< Rate >	callPayoffs_
Position::Type	longCallOption_ = Position::Long
bool	callATM_ = false
std::vector< Rate >	putStrikes_
std::vector< Rate >	putPayoffs_
Position::Type	longPutOption_ = Position::Long
bool	putATM_ = false
ext::shared_ptr< DigitalReplication >	replication_
bool	nakedOption_

Detailed Description

helper class building a sequence of digital ibor-rate coupons

Definition at line 57 of file digitalcmsspreadcoupon.hpp.

Constructor & Destructor Documentation

DigitalCmsSpreadLeg()

DigitalCmsSpreadLeg	(	Schedule	schedule,
		ext::shared_ptr< SwapSpreadIndex >	index
	)

Definition at line 52 of file digitalcmsspreadcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

DigitalCmsSpreadLeg & withNotionals

(

Real

notional

)

Definition at line 56 of file digitalcmsspreadcoupon.cpp.

withNotionals() [2/2]

DigitalCmsSpreadLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 61 of file digitalcmsspreadcoupon.cpp.

withPaymentDayCounter()

DigitalCmsSpreadLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 67 of file digitalcmsspreadcoupon.cpp.

withPaymentAdjustment()

DigitalCmsSpreadLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 73 of file digitalcmsspreadcoupon.cpp.

withFixingDays() [1/2]

DigitalCmsSpreadLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 79 of file digitalcmsspreadcoupon.cpp.

withFixingDays() [2/2]

DigitalCmsSpreadLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 84 of file digitalcmsspreadcoupon.cpp.

withGearings() [1/2]

DigitalCmsSpreadLeg & withGearings

(

Real

gearing

)

Definition at line 90 of file digitalcmsspreadcoupon.cpp.

withGearings() [2/2]

DigitalCmsSpreadLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 95 of file digitalcmsspreadcoupon.cpp.

withSpreads() [1/2]

DigitalCmsSpreadLeg & withSpreads

(

Spread

spread

)

Definition at line 101 of file digitalcmsspreadcoupon.cpp.

withSpreads() [2/2]

DigitalCmsSpreadLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 106 of file digitalcmsspreadcoupon.cpp.

inArrears()

DigitalCmsSpreadLeg & inArrears

(

bool

flag = true

)

Definition at line 112 of file digitalcmsspreadcoupon.cpp.

withCallStrikes() [1/2]

DigitalCmsSpreadLeg & withCallStrikes

(

Rate

strike

)

Definition at line 117 of file digitalcmsspreadcoupon.cpp.

withCallStrikes() [2/2]

DigitalCmsSpreadLeg & withCallStrikes

(

const std::vector< Rate > &

strikes

)

Definition at line 122 of file digitalcmsspreadcoupon.cpp.

withLongCallOption()

DigitalCmsSpreadLeg & withLongCallOption

(

Position::Type

type

)

Definition at line 128 of file digitalcmsspreadcoupon.cpp.

withCallATM()

DigitalCmsSpreadLeg & withCallATM

(

bool

flag = true

)

Definition at line 133 of file digitalcmsspreadcoupon.cpp.

withCallPayoffs() [1/2]

DigitalCmsSpreadLeg & withCallPayoffs

(

Rate

payoff

)

Definition at line 138 of file digitalcmsspreadcoupon.cpp.

withCallPayoffs() [2/2]

DigitalCmsSpreadLeg & withCallPayoffs

(

const std::vector< Rate > &

payoffs

)

Definition at line 143 of file digitalcmsspreadcoupon.cpp.

withPutStrikes() [1/2]

DigitalCmsSpreadLeg & withPutStrikes

(

Rate

strike

)

Definition at line 149 of file digitalcmsspreadcoupon.cpp.

withPutStrikes() [2/2]

DigitalCmsSpreadLeg & withPutStrikes

(

const std::vector< Rate > &

strikes

)

Definition at line 154 of file digitalcmsspreadcoupon.cpp.

withLongPutOption()

DigitalCmsSpreadLeg & withLongPutOption

(

Position::Type

type

)

Definition at line 160 of file digitalcmsspreadcoupon.cpp.

withPutATM()

DigitalCmsSpreadLeg & withPutATM

(

bool

flag = true

)

Definition at line 165 of file digitalcmsspreadcoupon.cpp.

withPutPayoffs() [1/2]

DigitalCmsSpreadLeg & withPutPayoffs

(

Rate

payoff

)

Definition at line 170 of file digitalcmsspreadcoupon.cpp.

withPutPayoffs() [2/2]

DigitalCmsSpreadLeg & withPutPayoffs

(

const std::vector< Rate > &

payoffs

)

Definition at line 175 of file digitalcmsspreadcoupon.cpp.

withReplication()

DigitalCmsSpreadLeg & withReplication

(

const ext::shared_ptr< DigitalReplication > &

replication

)

Definition at line 181 of file digitalcmsspreadcoupon.cpp.

withNakedOption()

DigitalCmsSpreadLeg & withNakedOption

(

bool

nakedOption = true

)

Definition at line 187 of file digitalcmsspreadcoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 192 of file digitalcmsspreadcoupon.cpp.

Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 88 of file digitalcmsspreadcoupon.hpp.

index_

ext::shared_ptr<SwapSpreadIndex> index_

private

Definition at line 89 of file digitalcmsspreadcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 90 of file digitalcmsspreadcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 91 of file digitalcmsspreadcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 92 of file digitalcmsspreadcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 93 of file digitalcmsspreadcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 94 of file digitalcmsspreadcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 95 of file digitalcmsspreadcoupon.hpp.

inArrears_

bool inArrears_ = false

private

Definition at line 96 of file digitalcmsspreadcoupon.hpp.

callStrikes_

std::vector<Rate> callStrikes_

private

Definition at line 97 of file digitalcmsspreadcoupon.hpp.

callPayoffs_

std::vector<Rate> callPayoffs_

private

Definition at line 97 of file digitalcmsspreadcoupon.hpp.

longCallOption_

Position::Type longCallOption_ = Position::Long

private

Definition at line 98 of file digitalcmsspreadcoupon.hpp.

callATM_

bool callATM_ = false

private

Definition at line 99 of file digitalcmsspreadcoupon.hpp.

putStrikes_

std::vector<Rate> putStrikes_

private

Definition at line 100 of file digitalcmsspreadcoupon.hpp.

putPayoffs_

std::vector<Rate> putPayoffs_

private

Definition at line 100 of file digitalcmsspreadcoupon.hpp.

longPutOption_

Position::Type longPutOption_ = Position::Long

private

Definition at line 101 of file digitalcmsspreadcoupon.hpp.

putATM_

bool putATM_ = false

private

Definition at line 102 of file digitalcmsspreadcoupon.hpp.

replication_

ext::shared_ptr<DigitalReplication> replication_

private

Definition at line 103 of file digitalcmsspreadcoupon.hpp.

nakedOption_

bool nakedOption_

private

Definition at line 104 of file digitalcmsspreadcoupon.hpp.