#include <qlo/assetswap.hpp>

Inheritance diagram for QuantLibAddin::AssetSwap:

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Collaboration diagram for QuantLibAddin::AssetSwap:

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Public Member Functions
	AssetSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, bool payFixedRate, const boost::shared_ptr< QuantLib::Bond > &bond, QuantLib::Real bondCleanPrice, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Spread spread, const boost::shared_ptr< QuantLib::Schedule > &floatSchedule, const QuantLib::DayCounter &floatingDayCounter, bool parSwap, bool permanent)

	AssetSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, bool parAssetSwap, const boost::shared_ptr< QuantLib::Bond > &bond, QuantLib::Real bondCleanPrice, QuantLib::Real nonParRepayment, QuantLib::Real gearing, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Spread spread, const QuantLib::DayCounter &floatingDayCounter, const QuantLib::Date &dealMaturity, bool payFixedRate, bool permanent)

std::vector< std::vector< ObjectHandler::property_t > >	bondLeg (const QuantLib::Date &d)

std::vector< std::vector< ObjectHandler::property_t > >	floatingLeg (const QuantLib::Date &d)

Public Member Functions inherited from QuantLibAddin::Swap
	Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< boost::shared_ptr< Leg > > &legPtrs, const std::vector< bool > &payer, bool permanent)

	Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< QuantLib::Leg > &legs, const std::vector< bool > &payer, bool permanent)

	Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Period &swapTenor, const boost::shared_ptr< QuantLib::SwapIndex > &swapIndex, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Spread iborSpread, const QuantLib::Period &forwardStart, const boost::shared_ptr< QuantLib::CmsCouponPricer > &pricer, bool permanent)

std::vector< std::vector< ObjectHandler::property_t > >	legAnalysis (QuantLib::Size i, const QuantLib::Date &d)

Public Member Functions inherited from QuantLibAddin::Instrument
void	setPricingEngine (boost::shared_ptr< PricingEngine > &e) const

Additional Inherited Members
Protected Member Functions inherited from QuantLibAddin::Swap
	OH_OBJ_CTOR (Swap, Instrument)

Constructor & Destructor Documentation

◆ AssetSwap() [1/2]

QuantLibAddin::AssetSwap::AssetSwap	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		bool	payFixedRate,
		const boost::shared_ptr< QuantLib::Bond > &	bond,
		QuantLib::Real	bondCleanPrice,
		const boost::shared_ptr< QuantLib::IborIndex > &	iborIndex,
		QuantLib::Spread	spread,
		const boost::shared_ptr< QuantLib::Schedule > &	floatSchedule,
		const QuantLib::DayCounter &	floatingDayCounter,
		bool	parSwap,
		bool	permanent
	)

◆ AssetSwap() [2/2]

QuantLibAddin::AssetSwap::AssetSwap	(	const boost::shared_ptr< ObjectHandler::ValueObject > &	properties,
		bool	parAssetSwap,
		const boost::shared_ptr< QuantLib::Bond > &	bond,
		QuantLib::Real	bondCleanPrice,
		QuantLib::Real	nonParRepayment,
		QuantLib::Real	gearing,
		const boost::shared_ptr< QuantLib::IborIndex > &	iborIndex,
		QuantLib::Spread	spread,
		const QuantLib::DayCounter &	floatingDayCounter,
		const QuantLib::Date &	dealMaturity,
		bool	payFixedRate,
		bool	permanent
	)

Member Function Documentation

◆ bondLeg()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::AssetSwap::bondLeg ( const QuantLib::Date & d )

inline

◆ floatingLeg()

std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::AssetSwap::floatingLeg ( const QuantLib::Date & d )