FloatFloatSwap::arguments Class Reference

Arguments for float float swap calculation More...

#include <floatfloatswap.hpp>

Inheritance diagram for FloatFloatSwap::arguments:

Collaboration diagram for FloatFloatSwap::arguments:

Public Member Functions
	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 Attributes
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

Detailed Description

Arguments for float float swap calculation

Definition at line 152 of file floatfloatswap.hpp.

Constructor & Destructor Documentation

arguments()

arguments ( )

default

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Reimplemented in FloatFloatSwaption::arguments.

Definition at line 533 of file floatfloatswap.cpp.

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Member Data Documentation

type

Swap::Type type = Swap::Receiver

Definition at line 155 of file floatfloatswap.hpp.

nominal1

std::vector<Real> nominal1

Definition at line 156 of file floatfloatswap.hpp.

nominal2

std::vector<Real> nominal2

Definition at line 156 of file floatfloatswap.hpp.

leg1ResetDates

std::vector<Date> leg1ResetDates

Definition at line 158 of file floatfloatswap.hpp.

leg1FixingDates

std::vector<Date> leg1FixingDates

Definition at line 158 of file floatfloatswap.hpp.

leg1PayDates

std::vector<Date> leg1PayDates

Definition at line 158 of file floatfloatswap.hpp.

leg2ResetDates

std::vector<Date> leg2ResetDates

Definition at line 159 of file floatfloatswap.hpp.

leg2FixingDates

std::vector<Date> leg2FixingDates

Definition at line 159 of file floatfloatswap.hpp.

leg2PayDates

std::vector<Date> leg2PayDates

Definition at line 159 of file floatfloatswap.hpp.

leg1Spreads

std::vector<Real> leg1Spreads

Definition at line 161 of file floatfloatswap.hpp.

leg2Spreads

std::vector<Real> leg2Spreads

Definition at line 161 of file floatfloatswap.hpp.

leg1Gearings

std::vector<Real> leg1Gearings

Definition at line 161 of file floatfloatswap.hpp.

leg2Gearings

std::vector<Real> leg2Gearings

Definition at line 161 of file floatfloatswap.hpp.

leg1CappedRates

std::vector<Real> leg1CappedRates

Definition at line 162 of file floatfloatswap.hpp.

leg1FlooredRates

std::vector<Real> leg1FlooredRates

Definition at line 162 of file floatfloatswap.hpp.

leg2CappedRates

std::vector<Real> leg2CappedRates

Definition at line 162 of file floatfloatswap.hpp.

leg2FlooredRates

std::vector<Real> leg2FlooredRates

Definition at line 163 of file floatfloatswap.hpp.

leg1Coupons

std::vector<Real> leg1Coupons

Definition at line 165 of file floatfloatswap.hpp.

leg2Coupons

std::vector<Real> leg2Coupons

Definition at line 165 of file floatfloatswap.hpp.

leg1AccrualTimes

std::vector<Real> leg1AccrualTimes

Definition at line 166 of file floatfloatswap.hpp.

leg2AccrualTimes

std::vector<Real> leg2AccrualTimes

Definition at line 166 of file floatfloatswap.hpp.

index1

ext::shared_ptr<InterestRateIndex> index1

Definition at line 168 of file floatfloatswap.hpp.

index2

ext::shared_ptr<InterestRateIndex> index2

Definition at line 168 of file floatfloatswap.hpp.

leg1IsRedemptionFlow

std::vector<bool> leg1IsRedemptionFlow

Definition at line 170 of file floatfloatswap.hpp.

leg2IsRedemptionFlow

std::vector<bool> leg2IsRedemptionFlow

Definition at line 170 of file floatfloatswap.hpp.