Arguments for nonstandard swap calculation More...
#include <ql/instruments/nonstandardswap.hpp>
Inheritance diagram for NonstandardSwap::arguments:
Collaboration diagram for NonstandardSwap::arguments:
Public Member Functions | |
| arguments ()=default | |
| void | validate () const override |
| Public Member Functions inherited from Swap::arguments | |
| void | validate () const override |
| Public Member Functions inherited from PricingEngine::arguments | |
| virtual | ~arguments ()=default |
| virtual void | validate () const =0 |
Public Attributes | |
| Swap::Type | type = Swap::Receiver |
| std::vector< Real > | fixedNominal |
| std::vector< Real > | floatingNominal |
| std::vector< Date > | fixedResetDates |
| std::vector< Date > | fixedPayDates |
| std::vector< Time > | floatingAccrualTimes |
| std::vector< Date > | floatingResetDates |
| std::vector< Date > | floatingFixingDates |
| std::vector< Date > | floatingPayDates |
| std::vector< Real > | fixedCoupons |
| std::vector< Real > | fixedRate |
| std::vector< Spread > | floatingSpreads |
| std::vector< Real > | floatingGearings |
| std::vector< Real > | floatingCoupons |
| ext::shared_ptr< IborIndex > | iborIndex |
| std::vector< bool > | fixedIsRedemptionFlow |
| std::vector< bool > | floatingIsRedemptionFlow |
| Public Attributes inherited from Swap::arguments | |
| std::vector< Leg > | legs |
| std::vector< Real > | payer |
Detailed Description
Arguments for nonstandard swap calculation
Definition at line 126 of file nonstandardswap.hpp.
Constructor & Destructor Documentation
◆ arguments()
|
default |
Member Function Documentation
◆ validate()
|
overridevirtual |
Implements PricingEngine::arguments.
Reimplemented in NonstandardSwaption::arguments.
Definition at line 342 of file nonstandardswap.cpp.
Here is the call graph for this function:
Here is the caller graph for this function:
Member Data Documentation
◆ type
| Swap::Type type = Swap::Receiver |
Definition at line 129 of file nonstandardswap.hpp.
◆ fixedNominal
| std::vector<Real> fixedNominal |
Definition at line 130 of file nonstandardswap.hpp.
◆ floatingNominal
| std::vector<Real> floatingNominal |
Definition at line 130 of file nonstandardswap.hpp.
◆ fixedResetDates
| std::vector<Date> fixedResetDates |
Definition at line 132 of file nonstandardswap.hpp.
◆ fixedPayDates
| std::vector<Date> fixedPayDates |
Definition at line 133 of file nonstandardswap.hpp.
◆ floatingAccrualTimes
| std::vector<Time> floatingAccrualTimes |
Definition at line 134 of file nonstandardswap.hpp.
◆ floatingResetDates
| std::vector<Date> floatingResetDates |
Definition at line 135 of file nonstandardswap.hpp.
◆ floatingFixingDates
| std::vector<Date> floatingFixingDates |
Definition at line 136 of file nonstandardswap.hpp.
◆ floatingPayDates
| std::vector<Date> floatingPayDates |
Definition at line 137 of file nonstandardswap.hpp.
◆ fixedCoupons
| std::vector<Real> fixedCoupons |
Definition at line 139 of file nonstandardswap.hpp.
◆ fixedRate
| std::vector<Real> fixedRate |
Definition at line 140 of file nonstandardswap.hpp.
◆ floatingSpreads
| std::vector<Spread> floatingSpreads |
Definition at line 141 of file nonstandardswap.hpp.
◆ floatingGearings
| std::vector<Real> floatingGearings |
Definition at line 142 of file nonstandardswap.hpp.
◆ floatingCoupons
| std::vector<Real> floatingCoupons |
Definition at line 143 of file nonstandardswap.hpp.
◆ iborIndex
| ext::shared_ptr<IborIndex> iborIndex |
Definition at line 145 of file nonstandardswap.hpp.
◆ fixedIsRedemptionFlow
| std::vector<bool> fixedIsRedemptionFlow |
Definition at line 147 of file nonstandardswap.hpp.
◆ floatingIsRedemptionFlow
| std::vector<bool> floatingIsRedemptionFlow |
Definition at line 148 of file nonstandardswap.hpp.