NonstandardSwap::arguments Class Reference

Arguments for nonstandard swap calculation More...

#include <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()

arguments ( )

default

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Reimplemented in NonstandardSwaption::arguments.

Definition at line 342 of file nonstandardswap.cpp.

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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.