FloatFloatSwaption::arguments Class Reference

Arguments for cms swaption calculation More...

#include <floatfloatswaption.hpp>

Inheritance diagram for FloatFloatSwaption::arguments:

Collaboration diagram for FloatFloatSwaption::arguments:

Public Member Functions
	arguments ()=default
void	validate () const override
Public Member Functions inherited from FloatFloatSwap::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< FloatFloatSwap >	swap
Settlement::Type	settlementType
Settlement::Method	settlementMethod
Public Attributes inherited from FloatFloatSwap::arguments
Swap::Type	type = Swap::Receiver
std::vector< Real >	nominal1
std::vector< Real >	nominal2
std::vector< Date >	leg1ResetDates
std::vector< Date >	leg1FixingDates
std::vector< Date >	leg1PayDates
std::vector< Date >	leg2ResetDates
std::vector< Date >	leg2FixingDates
std::vector< Date >	leg2PayDates
std::vector< Real >	leg1Spreads
std::vector< Real >	leg2Spreads
std::vector< Real >	leg1Gearings
std::vector< Real >	leg2Gearings
std::vector< Real >	leg1CappedRates
std::vector< Real >	leg1FlooredRates
std::vector< Real >	leg2CappedRates
std::vector< Real >	leg2FlooredRates
std::vector< Real >	leg1Coupons
std::vector< Real >	leg2Coupons
std::vector< Real >	leg1AccrualTimes
std::vector< Real >	leg2AccrualTimes
ext::shared_ptr< InterestRateIndex >	index1
ext::shared_ptr< InterestRateIndex >	index2
std::vector< bool >	leg1IsRedemptionFlow
std::vector< bool >	leg2IsRedemptionFlow
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

Detailed Description

Arguments for cms swaption calculation

Definition at line 78 of file floatfloatswaption.hpp.

Constructor & Destructor Documentation

arguments()

arguments ( )

default

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Reimplemented from FloatFloatSwap::arguments.

Definition at line 63 of file floatfloatswaption.cpp.

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Member Data Documentation

swap

ext::shared_ptr<FloatFloatSwap> swap

Definition at line 82 of file floatfloatswaption.hpp.

settlementType

Settlement::Type settlementType

Definition at line 83 of file floatfloatswaption.hpp.

settlementMethod

Settlement::Method settlementMethod

Definition at line 84 of file floatfloatswaption.hpp.