24#ifndef quantlib_makecms_hpp
25#define quantlib_makecms_hpp
43 const ext::shared_ptr<SwapIndex>& swapIndex,
44 const ext::shared_ptr<IborIndex>& iborIndex,
49 const ext::shared_ptr<SwapIndex>& swapIndex,
53 operator Swap()
const;
54 operator ext::shared_ptr<Swap>()
const ;
86 const ext::shared_ptr<CmsCouponPricer>& couponPricer);
Shared handle to an observable.
helper class for instantiating CMS
MakeCms & withDiscountingTermStructure(const Handle< YieldTermStructure > &discountingTermStructure)
BusinessDayConvention cmsTerminationDateConvention_
MakeCms & withNominal(Real n)
MakeCms & withCmsLegEndOfMonth(bool flag=true)
ext::shared_ptr< CmsCouponPricer > couponPricer_
Date floatNextToLastDate_
MakeCms & withCmsLegNextToLastDate(const Date &d)
DateGeneration::Rule floatRule_
MakeCms & withFloatingLegDayCount(const DayCounter &dc)
DayCounter floatDayCount_
MakeCms & withCmsLegRule(DateGeneration::Rule r)
ext::shared_ptr< IborIndex > iborIndex_
MakeCms & withFloatingLegConvention(BusinessDayConvention bdc)
MakeCms & withFloatingLegRule(DateGeneration::Rule r)
ext::shared_ptr< SwapIndex > swapIndex_
MakeCms & withCmsLegConvention(BusinessDayConvention bdc)
BusinessDayConvention floatTerminationDateConvention_
MakeCms & withCmsLegCalendar(const Calendar &cal)
MakeCms & withCmsLegDayCount(const DayCounter &dc)
MakeCms & withFloatingLegTenor(const Period &t)
MakeCms & withEffectiveDate(const Date &)
ext::shared_ptr< PricingEngine > engine_
MakeCms & receiveCms(bool flag=true)
MakeCms & withCmsLegTerminationDateConvention(BusinessDayConvention)
MakeCms & withFloatingLegNextToLastDate(const Date &d)
MakeCms & withCmsLegFirstDate(const Date &d)
MakeCms & withFloatingLegFirstDate(const Date &d)
BusinessDayConvention floatConvention_
MakeCms & withCmsCouponPricer(const ext::shared_ptr< CmsCouponPricer > &couponPricer)
MakeCms & withAtmSpread(bool flag=true)
MakeCms & withFloatingLegTerminationDateConvention(BusinessDayConvention bdc)
MakeCms & withCmsLegTenor(const Period &t)
DateGeneration::Rule cmsRule_
BusinessDayConvention cmsConvention_
MakeCms & withFloatingLegEndOfMonth(bool flag=true)
MakeCms & withFloatingLegCalendar(const Calendar &cal)
BusinessDayConvention
Business Day conventions.
Real Spread
spreads on interest rates
ext::shared_ptr< YieldTermStructure > r
Base class for pricing engines.