FixedVsFloatingSwap::arguments Class Reference

Arguments for simple swap calculation More...

#include <fixedvsfloatingswap.hpp>

Inheritance diagram for FixedVsFloatingSwap::arguments:

Collaboration diagram for FixedVsFloatingSwap::arguments:

Public Member Functions
	arguments ()
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 Attributes
Type	type = Receiver
Real	nominal
std::vector< Real >	fixedNominals
std::vector< Date >	fixedResetDates
std::vector< Date >	fixedPayDates
std::vector< Real >	floatingNominals
std::vector< Time >	floatingAccrualTimes
std::vector< Date >	floatingResetDates
std::vector< Date >	floatingFixingDates
std::vector< Date >	floatingPayDates
std::vector< Real >	fixedCoupons
std::vector< Spread >	floatingSpreads
std::vector< Real >	floatingCoupons
Public Attributes inherited from Swap::arguments
std::vector< Leg >	legs
std::vector< Real >	payer

Detailed Description

Arguments for simple swap calculation

Definition at line 132 of file fixedvsfloatingswap.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 134 of file fixedvsfloatingswap.hpp.

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Reimplemented in Swaption::arguments.

Definition at line 209 of file fixedvsfloatingswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

type

Type type = Receiver

Definition at line 135 of file fixedvsfloatingswap.hpp.

nominal

Real nominal

Definition at line 136 of file fixedvsfloatingswap.hpp.

fixedNominals

std::vector<Real> fixedNominals

Definition at line 138 of file fixedvsfloatingswap.hpp.

fixedResetDates

std::vector<Date> fixedResetDates

Definition at line 139 of file fixedvsfloatingswap.hpp.

fixedPayDates

std::vector<Date> fixedPayDates

Definition at line 140 of file fixedvsfloatingswap.hpp.

floatingNominals

std::vector<Real> floatingNominals

Definition at line 141 of file fixedvsfloatingswap.hpp.

floatingAccrualTimes

std::vector<Time> floatingAccrualTimes

Definition at line 142 of file fixedvsfloatingswap.hpp.

floatingResetDates

std::vector<Date> floatingResetDates

Definition at line 143 of file fixedvsfloatingswap.hpp.

floatingFixingDates

std::vector<Date> floatingFixingDates

Definition at line 144 of file fixedvsfloatingswap.hpp.

floatingPayDates

std::vector<Date> floatingPayDates

Definition at line 145 of file fixedvsfloatingswap.hpp.

fixedCoupons

std::vector<Real> fixedCoupons

Definition at line 147 of file fixedvsfloatingswap.hpp.

floatingSpreads

std::vector<Spread> floatingSpreads

Definition at line 148 of file fixedvsfloatingswap.hpp.

floatingCoupons

std::vector<Real> floatingCoupons

Definition at line 149 of file fixedvsfloatingswap.hpp.