A free/open-source library for quantitative finance
Fully annotated sources - version 1.22
Public Member Functions | Public Attributes | List of all members
Swaption::arguments Class Reference

Arguments for swaption calculation More...

#include <ql/instruments/swaption.hpp>

+ Inheritance diagram for Swaption::arguments:
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Public Member Functions

 arguments ()=default
void validate () const override
- Public Member Functions inherited from VanillaSwap::arguments
 arguments ()
void validate () const override
- Public Member Functions inherited from PricingEngine::arguments
virtual ~arguments ()=default
- Public Member Functions inherited from Option::arguments
 arguments ()=default
void validate () const override

Public Attributes

ext::shared_ptr< VanillaSwapswap
Settlement::Type settlementType = Settlement::Physical
Settlement::Method settlementMethod
- Public Attributes inherited from VanillaSwap::arguments
Type type = Receiver
Real nominal
std::vector< DatefixedResetDates
std::vector< DatefixedPayDates
std::vector< TimefloatingAccrualTimes
std::vector< DatefloatingResetDates
std::vector< DatefloatingFixingDates
std::vector< DatefloatingPayDates
std::vector< RealfixedCoupons
std::vector< SpreadfloatingSpreads
std::vector< RealfloatingCoupons
- Public Attributes inherited from Swap::arguments
std::vector< Leglegs
std::vector< Realpayer
- Public Attributes inherited from Option::arguments
ext::shared_ptr< Payoffpayoff
ext::shared_ptr< Exerciseexercise

Detailed Description

Arguments for swaption calculation

Definition at line 125 of file swaption.hpp.

Constructor & Destructor Documentation

◆ arguments()

arguments ( )

Member Function Documentation

◆ validate()

void validate ( ) const

Reimplemented from Swap::arguments.

Definition at line 160 of file swaption.cpp.

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Member Data Documentation

◆ swap

ext::shared_ptr<VanillaSwap> swap

Definition at line 129 of file swaption.hpp.

◆ settlementType

Definition at line 130 of file swaption.hpp.

◆ settlementMethod

Settlement::Method settlementMethod

Definition at line 131 of file swaption.hpp.