QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class building a sequence of digital ibor-rate coupons More...
#include <digitalcmsspreadcoupon.hpp>
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_ |
helper class building a sequence of digital ibor-rate coupons
Definition at line 57 of file digitalcmsspreadcoupon.hpp.
DigitalCmsSpreadLeg | ( | Schedule | schedule, |
ext::shared_ptr< SwapSpreadIndex > | index | ||
) |
Definition at line 52 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withNotionals | ( | Real | notional | ) |
Definition at line 56 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withNotionals | ( | const std::vector< Real > & | notionals | ) |
Definition at line 61 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPaymentDayCounter | ( | const DayCounter & | dayCounter | ) |
Definition at line 67 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
Definition at line 73 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withFixingDays | ( | Natural | fixingDays | ) |
Definition at line 79 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withFixingDays | ( | const std::vector< Natural > & | fixingDays | ) |
Definition at line 84 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withGearings | ( | Real | gearing | ) |
Definition at line 90 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withGearings | ( | const std::vector< Real > & | gearings | ) |
Definition at line 95 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withSpreads | ( | Spread | spread | ) |
Definition at line 101 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withSpreads | ( | const std::vector< Spread > & | spreads | ) |
Definition at line 106 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & inArrears | ( | bool | flag = true | ) |
Definition at line 112 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withCallStrikes | ( | Rate | strike | ) |
Definition at line 117 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withCallStrikes | ( | const std::vector< Rate > & | strikes | ) |
Definition at line 122 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withLongCallOption | ( | Position::Type | type | ) |
Definition at line 128 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withCallATM | ( | bool | flag = true | ) |
Definition at line 133 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withCallPayoffs | ( | Rate | payoff | ) |
Definition at line 138 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withCallPayoffs | ( | const std::vector< Rate > & | payoffs | ) |
Definition at line 143 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPutStrikes | ( | Rate | strike | ) |
Definition at line 149 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPutStrikes | ( | const std::vector< Rate > & | strikes | ) |
Definition at line 154 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withLongPutOption | ( | Position::Type | type | ) |
Definition at line 160 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPutATM | ( | bool | flag = true | ) |
Definition at line 165 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPutPayoffs | ( | Rate | payoff | ) |
Definition at line 170 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withPutPayoffs | ( | const std::vector< Rate > & | payoffs | ) |
Definition at line 175 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withReplication | ( | const ext::shared_ptr< DigitalReplication > & | replication | ) |
Definition at line 181 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withReplication | ( | ) |
Definition at line 187 of file digitalcmsspreadcoupon.cpp.
DigitalCmsSpreadLeg & withNakedOption | ( | bool | nakedOption = true | ) |
Definition at line 192 of file digitalcmsspreadcoupon.cpp.
operator Leg | ( | ) | const |
Definition at line 197 of file digitalcmsspreadcoupon.cpp.
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Definition at line 93 of file digitalcmsspreadcoupon.hpp.
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Definition at line 94 of file digitalcmsspreadcoupon.hpp.
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Definition at line 95 of file digitalcmsspreadcoupon.hpp.
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Definition at line 96 of file digitalcmsspreadcoupon.hpp.
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Definition at line 97 of file digitalcmsspreadcoupon.hpp.
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Definition at line 98 of file digitalcmsspreadcoupon.hpp.
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Definition at line 99 of file digitalcmsspreadcoupon.hpp.
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Definition at line 100 of file digitalcmsspreadcoupon.hpp.
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Definition at line 101 of file digitalcmsspreadcoupon.hpp.
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Definition at line 102 of file digitalcmsspreadcoupon.hpp.
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Definition at line 102 of file digitalcmsspreadcoupon.hpp.
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Definition at line 103 of file digitalcmsspreadcoupon.hpp.
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Definition at line 104 of file digitalcmsspreadcoupon.hpp.
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Definition at line 105 of file digitalcmsspreadcoupon.hpp.
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Definition at line 105 of file digitalcmsspreadcoupon.hpp.
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Definition at line 106 of file digitalcmsspreadcoupon.hpp.
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Definition at line 107 of file digitalcmsspreadcoupon.hpp.
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Definition at line 108 of file digitalcmsspreadcoupon.hpp.
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Definition at line 109 of file digitalcmsspreadcoupon.hpp.