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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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FloatFloatSwap Member List

This is the complete list of members for FloatFloatSwap, including all inherited members.

additionalResults() constInstrument
additionalResults_Instrumentmutableprotected
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
calculate() const overrideInstrumentprotectedvirtual
calculated_LazyObjectmutableprotected
cappedRate1() constFloatFloatSwap
cappedRate1_FloatFloatSwapprivate
cappedRate2() constFloatFloatSwap
cappedRate2_FloatFloatSwapprivate
dayCount1() constFloatFloatSwap
dayCount1_FloatFloatSwapprivate
dayCount2() constFloatFloatSwap
dayCount2_FloatFloatSwapprivate
deepUpdate() overrideSwapvirtual
endDiscounts(Size j) constSwap
endDiscounts_Swapprotected
engine_Instrumentprotected
errorEstimate() constInstrument
errorEstimate_Instrumentprotected
fetchResults(const PricingEngine::results *) const overrideFloatFloatSwapvirtual
finalCapitalExchange_FloatFloatSwapprivate
FloatFloatSwap(Swap::Type type, Real nominal1, Real nominal2, Schedule schedule1, ext::shared_ptr< InterestRateIndex > index1, DayCounter dayCount1, Schedule schedule2, ext::shared_ptr< InterestRateIndex > index2, DayCounter dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, Real gearing1=1.0, Real spread1=0.0, Real cappedRate1=Null< Real >(), Real flooredRate1=Null< Real >(), Real gearing2=1.0, Real spread2=0.0, Real cappedRate2=Null< Real >(), Real flooredRate2=Null< Real >(), const ext::optional< BusinessDayConvention > &paymentConvention1=ext::nullopt, const ext::optional< BusinessDayConvention > &paymentConvention2=ext::nullopt)FloatFloatSwap
FloatFloatSwap(Swap::Type type, std::vector< Real > nominal1, std::vector< Real > nominal2, Schedule schedule1, ext::shared_ptr< InterestRateIndex > index1, DayCounter dayCount1, Schedule schedule2, ext::shared_ptr< InterestRateIndex > index2, DayCounter dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, std::vector< Real > gearing1=std::vector< Real >(), std::vector< Real > spread1=std::vector< Real >(), std::vector< Real > cappedRate1=std::vector< Real >(), std::vector< Real > flooredRate1=std::vector< Real >(), std::vector< Real > gearing2=std::vector< Real >(), std::vector< Real > spread2=std::vector< Real >(), std::vector< Real > cappedRate2=std::vector< Real >(), std::vector< Real > flooredRate2=std::vector< Real >(), const ext::optional< BusinessDayConvention > &paymentConvention1=ext::nullopt, const ext::optional< BusinessDayConvention > &paymentConvention2=ext::nullopt)FloatFloatSwap
flooredRate1() constFloatFloatSwap
flooredRate1_FloatFloatSwapprivate
flooredRate2() constFloatFloatSwap
flooredRate2_FloatFloatSwapprivate
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frozen_LazyObjectprotected
gearing1() constFloatFloatSwap
gearing1_FloatFloatSwapprivate
gearing2() constFloatFloatSwap
gearing2_FloatFloatSwapprivate
index1() constFloatFloatSwap
index1_FloatFloatSwapprivate
index2() constFloatFloatSwap
index2_FloatFloatSwapprivate
init(ext::optional< BusinessDayConvention > paymentConvention1, ext::optional< BusinessDayConvention > paymentConvention2)FloatFloatSwapprivate
Instrument()Instrument
intermediateCapitalExchange_FloatFloatSwapprivate
isCalculated() constLazyObject
isExpired() const overrideSwapvirtual
isRedemptionFlow1_FloatFloatSwapprivate
isRedemptionFlow2_FloatFloatSwapprivate
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
leg(Size j) constSwap
leg1() constFloatFloatSwap
leg2() constFloatFloatSwap
legBPS(Size j) constSwap
legBPS_Swapmutableprotected
legNPV(Size j) constSwap
legNPV_Swapmutableprotected
legs() constSwap
legs_Swapprotected
maturityDate() constSwapvirtual
nominal1() constFloatFloatSwap
nominal1_FloatFloatSwapprivate
nominal2() constFloatFloatSwap
nominal2_FloatFloatSwapprivate
notifyObservers()Observable
NPV() constInstrument
NPV_Instrumentmutableprotected
npvDateDiscount() constSwap
npvDateDiscount_Swapmutableprotected
numberOfLegs() constSwap
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
payer(Size j) constSwap
Payer enum valueSwap
payer_Swapprotected
paymentConvention1() constFloatFloatSwap
paymentConvention1_FloatFloatSwapprivate
paymentConvention2() constFloatFloatSwap
paymentConvention2_FloatFloatSwapprivate
performCalculations() const overrideInstrumentprotectedvirtual
recalculate()LazyObject
Receiver enum valueSwap
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
result(const std::string &tag) constInstrument
schedule1() constFloatFloatSwap
schedule1_FloatFloatSwapprivate
schedule2() constFloatFloatSwap
schedule2_FloatFloatSwapprivate
QuantLib::set_type typedefObservableprivate
setPricingEngine(const ext::shared_ptr< PricingEngine > &)Instrument
setupArguments(PricingEngine::arguments *args) const overrideFloatFloatSwapvirtual
setupExpired() const overrideFloatFloatSwapprivatevirtual
spread1() constFloatFloatSwap
spread1_FloatFloatSwapprivate
spread2() constFloatFloatSwap
spread2_FloatFloatSwapprivate
startDate() constSwapvirtual
startDiscounts(Size j) constSwap
startDiscounts_Swapmutableprotected
Swap(const Leg &firstLeg, const Leg &secondLeg)Swap
Swap(const std::vector< Leg > &legs, const std::vector< bool > &payer)Swap
Swap(Size legs)Swapprotected
Type enum nameSwap
type() constFloatFloatSwap
type_FloatFloatSwapprivate
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideLazyObjectvirtual
updating_LazyObjectprivate
valuationDate() constInstrument
valuationDate_Instrumentmutableprotected
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
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