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fully annotated source code - version 1.34
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Public Member Functions | Public Attributes | List of all members
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< FloatFloatSwapswap
 
Settlement::Type settlementType
 
Settlement::Method settlementMethod
 
- Public Attributes inherited from FloatFloatSwap::arguments
Swap::Type type = Swap::Receiver
 
std::vector< Realnominal1
 
std::vector< Realnominal2
 
std::vector< Dateleg1ResetDates
 
std::vector< Dateleg1FixingDates
 
std::vector< Dateleg1PayDates
 
std::vector< Dateleg2ResetDates
 
std::vector< Dateleg2FixingDates
 
std::vector< Dateleg2PayDates
 
std::vector< Realleg1Spreads
 
std::vector< Realleg2Spreads
 
std::vector< Realleg1Gearings
 
std::vector< Realleg2Gearings
 
std::vector< Realleg1CappedRates
 
std::vector< Realleg1FlooredRates
 
std::vector< Realleg2CappedRates
 
std::vector< Realleg2FlooredRates
 
std::vector< Realleg1Coupons
 
std::vector< Realleg2Coupons
 
std::vector< Realleg1AccrualTimes
 
std::vector< Realleg2AccrualTimes
 
ext::shared_ptr< InterestRateIndexindex1
 
ext::shared_ptr< InterestRateIndexindex2
 
std::vector< boolleg1IsRedemptionFlow
 
std::vector< boolleg2IsRedemptionFlow
 
- Public Attributes inherited from Swap::arguments
std::vector< Leglegs
 
std::vector< Realpayer
 
- Public Attributes inherited from Option::arguments
ext::shared_ptr< Payoffpayoff
 
ext::shared_ptr< Exerciseexercise
 

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.

+ Here is the call graph for this function:

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.