26#ifndef quantlib_digital_cms_coupon_hpp
27#define quantlib_digital_cms_coupon_hpp
42 bool isCallATMIncluded =
false,
46 bool isPutATMIncluded =
false,
48 const ext::shared_ptr<DigitalReplication>& replication = {},
49 bool nakedOption =
false);
89 [[deprecated(
"Use the overload that passes a replication instead")]]
degenerate base class for the Acyclic Visitor pattern
Cms-rate coupon with digital digital call/put option.
void accept(AcyclicVisitor &) override
helper class building a sequence of digital ibor-rate coupons
DigitalCmsLeg & withPaymentAdjustment(BusinessDayConvention)
BusinessDayConvention paymentAdjustment_
DigitalCmsLeg & withLongPutOption(Position::Type)
DigitalCmsLeg & inArrears(bool flag=true)
std::vector< Rate > putStrikes_
DigitalCmsLeg & withSpreads(Spread spread)
DigitalCmsLeg & withPutATM(bool flag=true)
DigitalCmsLeg & withPutPayoffs(Rate payoff)
DigitalCmsLeg & withGearings(Real gearing)
DigitalCmsLeg & withLongCallOption(Position::Type)
DigitalCmsLeg & withCallATM(bool flag=true)
DigitalCmsLeg & withPaymentDayCounter(const DayCounter &)
std::vector< Rate > callStrikes_
DigitalCmsLeg & withReplication()
std::vector< Real > notionals_
std::vector< Spread > spreads_
std::vector< Rate > callPayoffs_
DigitalCmsLeg & withFixingDays(Natural fixingDays)
DigitalCmsLeg & withNakedOption(bool nakedOption=true)
DigitalCmsLeg & withCallStrikes(Rate strike)
Position::Type longPutOption_
DigitalCmsLeg & withCallPayoffs(Rate payoff)
std::vector< Natural > fixingDays_
ext::shared_ptr< DigitalReplication > replication_
std::vector< Rate > putPayoffs_
DigitalCmsLeg & withNotionals(Real notional)
ext::shared_ptr< SwapIndex > index_
DigitalCmsLeg & withPutStrikes(Rate strike)
Position::Type longCallOption_
std::vector< Real > gearings_
DayCounter paymentDayCounter_
Rate putDigitalPayoff() const
ext::shared_ptr< FloatingRateCoupon > underlying() const
Rate callDigitalPayoff() const
template class providing a null value for a given type.
Floating-rate coupon with digital call/put option.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Real Spread
spreads on interest rates
ext::shared_ptr< QuantLib::Payoff > payoff
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.