QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <riskyassetswap.hpp>
Public Member Functions | |
AssetSwapHelper (const Handle< Quote > &spread, const Period &tenor, Natural settlementDays, Calendar calendar, const Period &fixedPeriod, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const Period &floatPeriod, BusinessDayConvention floatConvention, DayCounter floatDayCount, Real recoveryRate, const RelinkableHandle< YieldTermStructure > &yieldTS, const Period &integrationStepSize=Period()) | |
Real | impliedQuote () const override |
void | setTermStructure (DefaultProbabilityTermStructure *) override |
Public Member Functions inherited from BootstrapHelper< TS > | |
BootstrapHelper (Handle< Quote > quote) | |
BootstrapHelper (Real quote) | |
~BootstrapHelper () override=default | |
const Handle< Quote > & | quote () const |
Real | quoteError () const |
virtual void | setTermStructure (TS *) |
sets the term structure to be used for pricing More... | |
virtual Date | earliestDate () const |
earliest relevant date More... | |
virtual Date | maturityDate () const |
instrument's maturity date More... | |
virtual Date | latestRelevantDate () const |
latest relevant date More... | |
virtual Date | pillarDate () const |
pillar date More... | |
virtual Date | latestDate () const |
latest date More... | |
void | update () override |
virtual void | accept (AcyclicVisitor &) |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Private Member Functions | |
void | update () override |
void | initializeDates () |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from BootstrapHelper< TS > | |
Handle< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Definition at line 89 of file riskyassetswap.hpp.
AssetSwapHelper | ( | const Handle< Quote > & | spread, |
const Period & | tenor, | ||
Natural | settlementDays, | ||
Calendar | calendar, | ||
const Period & | fixedPeriod, | ||
BusinessDayConvention | fixedConvention, | ||
DayCounter | fixedDayCount, | ||
const Period & | floatPeriod, | ||
BusinessDayConvention | floatConvention, | ||
DayCounter | floatDayCount, | ||
Real | recoveryRate, | ||
const RelinkableHandle< YieldTermStructure > & | yieldTS, | ||
const Period & | integrationStepSize = Period() |
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) |
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overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 206 of file riskyassetswap.cpp.
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override |
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overrideprivatevirtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Definition at line 225 of file riskyassetswap.cpp.
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Definition at line 232 of file riskyassetswap.cpp.
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Definition at line 111 of file riskyassetswap.hpp.
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Definition at line 112 of file riskyassetswap.hpp.
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Definition at line 113 of file riskyassetswap.hpp.
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Definition at line 114 of file riskyassetswap.hpp.
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Definition at line 115 of file riskyassetswap.hpp.
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Definition at line 116 of file riskyassetswap.hpp.
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Definition at line 117 of file riskyassetswap.hpp.
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Definition at line 118 of file riskyassetswap.hpp.
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Definition at line 119 of file riskyassetswap.hpp.
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Definition at line 120 of file riskyassetswap.hpp.
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Definition at line 121 of file riskyassetswap.hpp.
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Definition at line 122 of file riskyassetswap.hpp.
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Definition at line 124 of file riskyassetswap.hpp.
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Definition at line 125 of file riskyassetswap.hpp.
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Definition at line 126 of file riskyassetswap.hpp.