QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Arguments for irregular-swaption calculation More...
#include <irregularswaption.hpp>
Public Member Functions | |
arguments ()=default | |
void | validate () const override |
Public Member Functions inherited from IrregularSwap::arguments | |
arguments ()=default | |
void | validate () const override |
Public Member Functions inherited from Swap::arguments | |
void | validate () const override |
Public Member Functions inherited from PricingEngine::arguments | |
virtual | ~arguments ()=default |
virtual void | validate () const =0 |
Public Member Functions inherited from Option::arguments | |
arguments ()=default | |
void | validate () const override |
Public Attributes | |
ext::shared_ptr< IrregularSwap > | swap |
IrregularSettlement::Type | settlementType = IrregularSettlement::Physical |
Public Attributes inherited from IrregularSwap::arguments | |
Type | type = Receiver |
std::vector< Date > | fixedResetDates |
std::vector< Date > | fixedPayDates |
std::vector< Real > | fixedCoupons |
std::vector< Real > | fixedNominals |
std::vector< Date > | floatingResetDates |
std::vector< Date > | floatingFixingDates |
std::vector< Date > | floatingPayDates |
std::vector< Time > | floatingAccrualTimes |
std::vector< Real > | floatingNominals |
std::vector< Spread > | floatingSpreads |
std::vector< Real > | floatingCoupons |
Public Attributes inherited from Swap::arguments | |
std::vector< Leg > | legs |
std::vector< Real > | payer |
Public Attributes inherited from Option::arguments | |
ext::shared_ptr< Payoff > | payoff |
ext::shared_ptr< Exercise > | exercise |
Arguments for irregular-swaption calculation
Definition at line 83 of file irregularswaption.hpp.
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default |
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overridevirtual |
Reimplemented from IrregularSwap::arguments.
Definition at line 124 of file irregularswaption.cpp.
ext::shared_ptr<IrregularSwap> swap |
Definition at line 87 of file irregularswaption.hpp.
IrregularSettlement::Type settlementType = IrregularSettlement::Physical |
Definition at line 88 of file irregularswaption.hpp.