IborLeg Class Reference

helper class building a sequence of capped/floored ibor-rate coupons More...

#include <iborcoupon.hpp>

Collaboration diagram for IborLeg:

Public Member Functions
	IborLeg (Schedule schedule, ext::shared_ptr< IborIndex > index)
IborLeg &	withNotionals (Real notional)
IborLeg &	withNotionals (const std::vector< Real > &notionals)
IborLeg &	withPaymentDayCounter (const DayCounter &)
IborLeg &	withPaymentAdjustment (BusinessDayConvention)
IborLeg &	withPaymentLag (Integer lag)
IborLeg &	withPaymentCalendar (const Calendar &)
IborLeg &	withFixingDays (Natural fixingDays)
IborLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
IborLeg &	withGearings (Real gearing)
IborLeg &	withGearings (const std::vector< Real > &gearings)
IborLeg &	withSpreads (Spread spread)
IborLeg &	withSpreads (const std::vector< Spread > &spreads)
IborLeg &	withCaps (Rate cap)
IborLeg &	withCaps (const std::vector< Rate > &caps)
IborLeg &	withFloors (Rate floor)
IborLeg &	withFloors (const std::vector< Rate > &floors)
IborLeg &	inArrears (bool flag=true)
IborLeg &	withZeroPayments (bool flag=true)
IborLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
IborLeg &	withIndexedCoupons (ext::optional< bool > b=true)
IborLeg &	withAtParCoupons (bool b=true)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< IborIndex >	index_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
Calendar	paymentCalendar_
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	caps_
std::vector< Rate >	floors_
bool	inArrears_ = false
bool	zeroPayments_ = false
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Unadjusted
bool	exCouponEndOfMonth_ = false
ext::optional< bool >	useIndexedCoupons_

Detailed Description

helper class building a sequence of capped/floored ibor-rate coupons

Definition at line 134 of file iborcoupon.hpp.

Constructor & Destructor Documentation

IborLeg()

IborLeg	(	Schedule	schedule,
		ext::shared_ptr< IborIndex >	index
	)

Definition at line 157 of file iborcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

IborLeg & withNotionals

(

Real

notional

)

Definition at line 162 of file iborcoupon.cpp.

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withNotionals() [2/2]

IborLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 167 of file iborcoupon.cpp.

withPaymentDayCounter()

IborLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 172 of file iborcoupon.cpp.

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withPaymentAdjustment()

IborLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 177 of file iborcoupon.cpp.

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withPaymentLag()

IborLeg & withPaymentLag

(

Integer

lag

)

Definition at line 182 of file iborcoupon.cpp.

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withPaymentCalendar()

IborLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 187 of file iborcoupon.cpp.

withFixingDays() [1/2]

IborLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 192 of file iborcoupon.cpp.

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withFixingDays() [2/2]

IborLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 197 of file iborcoupon.cpp.

withGearings() [1/2]

IborLeg & withGearings

(

Real

gearing

)

Definition at line 202 of file iborcoupon.cpp.

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withGearings() [2/2]

IborLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 207 of file iborcoupon.cpp.

withSpreads() [1/2]

IborLeg & withSpreads

(

Spread

spread

)

Definition at line 212 of file iborcoupon.cpp.

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withSpreads() [2/2]

IborLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 217 of file iborcoupon.cpp.

withCaps() [1/2]

IborLeg & withCaps

(

Rate

cap

)

Definition at line 222 of file iborcoupon.cpp.

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withCaps() [2/2]

IborLeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 227 of file iborcoupon.cpp.

withFloors() [1/2]

IborLeg & withFloors

(

Rate

floor

)

Definition at line 232 of file iborcoupon.cpp.

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withFloors() [2/2]

IborLeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 237 of file iborcoupon.cpp.

inArrears()

IborLeg & inArrears

(

bool

flag = true

)

Definition at line 242 of file iborcoupon.cpp.

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withZeroPayments()

IborLeg & withZeroPayments

(

bool

flag = true

)

Definition at line 247 of file iborcoupon.cpp.

withExCouponPeriod()

IborLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = false
	)

Definition at line 252 of file iborcoupon.cpp.

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withIndexedCoupons()

IborLeg & withIndexedCoupons

(

ext::optional< bool >

b = true

)

Definition at line 263 of file iborcoupon.cpp.

withAtParCoupons()

IborLeg & withAtParCoupons

(

bool

b = true

)

Definition at line 268 of file iborcoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 273 of file iborcoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 164 of file iborcoupon.hpp.

index_

ext::shared_ptr<IborIndex> index_

private

Definition at line 165 of file iborcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 166 of file iborcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 167 of file iborcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 168 of file iborcoupon.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 169 of file iborcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 170 of file iborcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 171 of file iborcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 172 of file iborcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 173 of file iborcoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 174 of file iborcoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 174 of file iborcoupon.hpp.

inArrears_

bool inArrears_ = false

private

Definition at line 175 of file iborcoupon.hpp.

zeroPayments_

bool zeroPayments_ = false

private

Definition at line 175 of file iborcoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 176 of file iborcoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 177 of file iborcoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Unadjusted

private

Definition at line 178 of file iborcoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 179 of file iborcoupon.hpp.

useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

private

Definition at line 180 of file iborcoupon.hpp.