Arguments for cap/floor calculation More...
#include <capfloor.hpp>
Inheritance diagram for CapFloor::arguments:
Collaboration diagram for CapFloor::arguments:
Public Member Functions | |
| arguments () | |
| void | validate () const override |
| Public Member Functions inherited from PricingEngine::arguments | |
| virtual | ~arguments ()=default |
| virtual void | validate () const =0 |
Public Attributes | |
| CapFloor::Type | type |
| std::vector< Date > | startDates |
| std::vector< Date > | fixingDates |
| std::vector< Date > | endDates |
| std::vector< Time > | accrualTimes |
| std::vector< Rate > | capRates |
| std::vector< Rate > | floorRates |
| std::vector< Rate > | forwards |
| std::vector< Real > | gearings |
| std::vector< Real > | spreads |
| std::vector< Real > | nominals |
| std::vector< ext::shared_ptr< InterestRateIndex > > | indexes |
Detailed Description
Arguments for cap/floor calculation
Definition at line 138 of file capfloor.hpp.
Constructor & Destructor Documentation
◆ arguments()
| arguments | ( | ) |
Definition at line 140 of file capfloor.hpp.
Member Function Documentation
◆ validate()
|
overridevirtual |
Implements PricingEngine::arguments.
Definition at line 278 of file capfloor.cpp.
Member Data Documentation
◆ type
| CapFloor::Type type |
Definition at line 141 of file capfloor.hpp.
◆ startDates
| std::vector<Date> startDates |
Definition at line 142 of file capfloor.hpp.
◆ fixingDates
| std::vector<Date> fixingDates |
Definition at line 143 of file capfloor.hpp.
◆ endDates
| std::vector<Date> endDates |
Definition at line 144 of file capfloor.hpp.
◆ accrualTimes
| std::vector<Time> accrualTimes |
Definition at line 145 of file capfloor.hpp.
◆ capRates
| std::vector<Rate> capRates |
Definition at line 146 of file capfloor.hpp.
◆ floorRates
| std::vector<Rate> floorRates |
Definition at line 147 of file capfloor.hpp.
◆ forwards
| std::vector<Rate> forwards |
Definition at line 148 of file capfloor.hpp.
◆ gearings
| std::vector<Real> gearings |
Definition at line 149 of file capfloor.hpp.
◆ spreads
| std::vector<Real> spreads |
Definition at line 150 of file capfloor.hpp.
◆ nominals
| std::vector<Real> nominals |
Definition at line 151 of file capfloor.hpp.
◆ indexes
| std::vector<ext::shared_ptr<InterestRateIndex> > indexes |
Definition at line 152 of file capfloor.hpp.