QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
pricingengines
capfloor
discretizedcapfloor.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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Copyright (C) 2004, 2007 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file discretizedcapfloor.hpp
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\brief discretized cap/floor
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*/
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#ifndef quantlib_pricers_capfloor_pricer_h
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#define quantlib_pricers_capfloor_pricer_h
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#include <
ql/instruments/capfloor.hpp
>
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#include <
ql/discretizedasset.hpp
>
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namespace
QuantLib
{
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class
DiscretizedCapFloor
:
public
DiscretizedAsset
{
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public
:
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DiscretizedCapFloor
(
const
CapFloor::arguments
& args,
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const
Date
& referenceDate,
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const
DayCounter
& dayCounter);
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void
reset
(
Size
size)
override
;
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std::vector<Time>
mandatoryTimes
()
const override
;
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protected
:
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void
preAdjustValuesImpl
()
override
;
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void
postAdjustValuesImpl
()
override
;
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private
:
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CapFloor::arguments
arguments_
;
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std::vector<Time>
startTimes_
;
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std::vector<Time>
endTimes_
;
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};
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}
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#endif
capfloor.hpp
cap and floor class
QuantLib::CapFloor::arguments
Arguments for cap/floor calculation
Definition:
capfloor.hpp:138
QuantLib::Date
Concrete date class.
Definition:
date.hpp:125
QuantLib::DayCounter
day counter class
Definition:
daycounter.hpp:44
QuantLib::DiscretizedAsset
Discretized asset class used by numerical methods.
Definition:
discretizedasset.hpp:36
QuantLib::DiscretizedCapFloor
Definition:
discretizedcapfloor.hpp:33
QuantLib::DiscretizedCapFloor::preAdjustValuesImpl
void preAdjustValuesImpl() override
Definition:
discretizedcapfloor.cpp:53
QuantLib::DiscretizedCapFloor::postAdjustValuesImpl
void postAdjustValuesImpl() override
Definition:
discretizedcapfloor.cpp:88
QuantLib::DiscretizedCapFloor::endTimes_
std::vector< Time > endTimes_
Definition:
discretizedcapfloor.hpp:48
QuantLib::DiscretizedCapFloor::mandatoryTimes
std::vector< Time > mandatoryTimes() const override
Definition:
discretizedcapfloor.cpp:46
QuantLib::DiscretizedCapFloor::startTimes_
std::vector< Time > startTimes_
Definition:
discretizedcapfloor.hpp:47
QuantLib::DiscretizedCapFloor::reset
void reset(Size size) override
Definition:
discretizedcapfloor.cpp:41
QuantLib::DiscretizedCapFloor::arguments_
CapFloor::arguments arguments_
Definition:
discretizedcapfloor.hpp:46
discretizedasset.hpp
Discretized asset classes.
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
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