Arguments for swaption calculation More...
#include <swaption.hpp>
Inheritance diagram for Swaption::arguments:
Collaboration diagram for Swaption::arguments:
Public Member Functions | |
| arguments ()=default | |
| void | validate () const override |
| Public Member Functions inherited from FixedVsFloatingSwap::arguments | |
| arguments () | |
| void | validate () const override |
| void | validate () const override |
| Public Member Functions inherited from PricingEngine::arguments | |
| virtual | ~arguments ()=default |
| virtual void | validate () const =0 |
| Public Member Functions inherited from Option::arguments | |
| arguments ()=default | |
| void | validate () const override |
Public Attributes | |
| ext::shared_ptr< FixedVsFloatingSwap > | swap |
| Settlement::Type | settlementType = Settlement::Physical |
| Settlement::Method | settlementMethod |
| Public Attributes inherited from FixedVsFloatingSwap::arguments | |
| Type | type = Receiver |
| Real | nominal |
| std::vector< Real > | fixedNominals |
| std::vector< Date > | fixedResetDates |
| std::vector< Date > | fixedPayDates |
| std::vector< Real > | floatingNominals |
| std::vector< Time > | floatingAccrualTimes |
| std::vector< Date > | floatingResetDates |
| std::vector< Date > | floatingFixingDates |
| std::vector< Date > | floatingPayDates |
| std::vector< Real > | fixedCoupons |
| std::vector< Spread > | floatingSpreads |
| std::vector< Real > | floatingCoupons |
| Public Attributes inherited from Swap::arguments | |
| std::vector< Leg > | legs |
| std::vector< Real > | payer |
| Public Attributes inherited from Option::arguments | |
| ext::shared_ptr< Payoff > | payoff |
| ext::shared_ptr< Exercise > | exercise |
Detailed Description
Arguments for swaption calculation
Definition at line 146 of file swaption.hpp.
Constructor & Destructor Documentation
◆ arguments()
|
default |
Member Function Documentation
◆ validate()
|
overridevirtual |
Reimplemented from FixedVsFloatingSwap::arguments.
Definition at line 175 of file swaption.cpp.
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Member Data Documentation
◆ swap
| ext::shared_ptr<FixedVsFloatingSwap> swap |
Definition at line 150 of file swaption.hpp.
◆ settlementType
| Settlement::Type settlementType = Settlement::Physical |
Definition at line 151 of file swaption.hpp.
◆ settlementMethod
| Settlement::Method settlementMethod |
Definition at line 152 of file swaption.hpp.