cashflowvectors.hpp File Reference

Cash flow vector builders. More...

#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/replication.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <ql/position.hpp>
#include <ql/indexes/swapindex.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Functions
Rate	effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)
bool	noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)
template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType >
Leg	FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero, Integer paymentLag=0, Calendar paymentCalendar=Calendar(), Period exCouponPeriod=Period(), Calendar exCouponCalendar=Calendar(), BusinessDayConvention exCouponAdjustment=Unadjusted, bool exCouponEndOfMonth=false)
template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType >
Leg	FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const ext::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const ext::shared_ptr< DigitalReplication > &replication, bool nakedOption=false)

Detailed Description

Cash flow vector builders.

Definition in file cashflowvectors.hpp.