QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <btp.hpp>
Public Member Functions | |
RendistatoCalculator (ext::shared_ptr< RendistatoBasket > basket, ext::shared_ptr< Euribor > euriborIndex, Handle< YieldTermStructure > discountCurve) | |
Calculations | |
Rate | yield () const |
Time | duration () const |
const std::vector< Rate > & | yields () const |
const std::vector< Time > & | durations () const |
const std::vector< Time > & | swapLengths () const |
const std::vector< Rate > & | swapRates () const |
const std::vector< Rate > & | swapYields () const |
const std::vector< Time > & | swapDurations () const |
Equivalent Swap proxy | |
ext::shared_ptr< VanillaSwap > | equivalentSwap () const |
Rate | equivalentSwapRate () const |
Rate | equivalentSwapYield () const |
Time | equivalentSwapDuration () const |
Time | equivalentSwapLength () const |
Spread | equivalentSwapSpread () const |
Public Member Functions inherited from LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
void | update () override |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
LazyObject interface | |
ext::shared_ptr< RendistatoBasket > | basket_ |
ext::shared_ptr< Euribor > | euriborIndex_ |
Handle< YieldTermStructure > | discountCurve_ |
std::vector< Rate > | yields_ |
std::vector< Time > | durations_ |
Time | duration_ |
Size | equivalentSwapIndex_ |
Size | nSwaps_ = 15 |
std::vector< ext::shared_ptr< VanillaSwap > > | swaps_ |
std::vector< Time > | swapLengths_ |
std::vector< Time > | swapBondDurations_ |
std::vector< Rate > | swapBondYields_ |
std::vector< Rate > | swapRates_ |
void | performCalculations () const override |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
RendistatoCalculator | ( | ext::shared_ptr< RendistatoBasket > | basket, |
ext::shared_ptr< Euribor > | euriborIndex, | ||
Handle< YieldTermStructure > | discountCurve | ||
) |
Rate yield | ( | ) | const |
Time duration | ( | ) | const |
const std::vector< Rate > & yields | ( | ) | const |
const std::vector< Time > & durations | ( | ) | const |
const std::vector< Rate > & swapRates | ( | ) | const |
const std::vector< Rate > & swapYields | ( | ) | const |
const std::vector< Time > & swapDurations | ( | ) | const |
ext::shared_ptr< VanillaSwap > equivalentSwap | ( | ) | const |
Rate equivalentSwapRate | ( | ) | const |
Rate equivalentSwapYield | ( | ) | const |
Time equivalentSwapDuration | ( | ) | const |
Time equivalentSwapLength | ( | ) | const |
Spread equivalentSwapSpread | ( | ) | const |
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overrideprotectedvirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 156 of file btp.cpp.
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private |
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private |
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mutableprivate |