QuantLibAddin::VanillaSwap Class Reference
#include <qlo/vanillaswap.hpp>
Inheritance diagram for QuantLibAddin::VanillaSwap:
Collaboration diagram for QuantLibAddin::VanillaSwap:
Public Member Functions | |
| VanillaSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, QuantLib::VanillaSwap::Type type, QuantLib::Real nominal, const boost::shared_ptr< QuantLib::Schedule > &fixedSchedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixLegDayCounter, const boost::shared_ptr< QuantLib::Schedule > &floatSchedule, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Spread floatingLegSpread, const QuantLib::DayCounter &floatDayCounter, QuantLib::BusinessDayConvention paymentConvention, bool permanent) | |
| VanillaSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, QuantLib::Natural settlDays, const QuantLib::Period &swapTenor, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Rate fixedRate, const QuantLib::Period &forwardStart, const QuantLib::DayCounter &fixLegDayCounter, QuantLib::Spread floatingLegSpread, const boost::shared_ptr< QuantLib::PricingEngine > &engine, bool permanent) | |
| VanillaSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Period &swapTenor, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Rate fixedRate, const QuantLib::Date &immDate, const QuantLib::DayCounter &fixLegDayCounter, QuantLib::Spread floatingLegSpread, const boost::shared_ptr< QuantLib::PricingEngine > &engine, bool permanent) | |
| VanillaSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const boost::shared_ptr< QuantLib::SwapIndex > &swapIndex, const QuantLib::Date &fixingDate, bool permanent) | |
| VanillaSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const boost::shared_ptr< QuantLib::SwapRateHelper > &swapRH, bool permanent) | |
| std::vector< std::vector< ObjectHandler::property_t > > | fixedLegAnalysis (const QuantLib::Date &d) |
| std::vector< std::vector< ObjectHandler::property_t > > | floatingLegAnalysis (const QuantLib::Date &) |
 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
◆ VanillaSwap() [1/5]
| QuantLibAddin::VanillaSwap::VanillaSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| QuantLib::VanillaSwap::Type | type, | ||
| QuantLib::Real | nominal, | ||
| const boost::shared_ptr< QuantLib::Schedule > & | fixedSchedule, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::DayCounter & | fixLegDayCounter, | ||
| const boost::shared_ptr< QuantLib::Schedule > & | floatSchedule, | ||
| const boost::shared_ptr< QuantLib::IborIndex > & | iborIndex, | ||
| QuantLib::Spread | floatingLegSpread, | ||
| const QuantLib::DayCounter & | floatDayCounter, | ||
| QuantLib::BusinessDayConvention | paymentConvention, | ||
| bool | permanent | ||
| ) |
◆ VanillaSwap() [2/5]
| QuantLibAddin::VanillaSwap::VanillaSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| QuantLib::Natural | settlDays, | ||
| const QuantLib::Period & | swapTenor, | ||
| const boost::shared_ptr< QuantLib::IborIndex > & | iborIndex, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::Period & | forwardStart, | ||
| const QuantLib::DayCounter & | fixLegDayCounter, | ||
| QuantLib::Spread | floatingLegSpread, | ||
| const boost::shared_ptr< QuantLib::PricingEngine > & | engine, | ||
| bool | permanent | ||
| ) |
◆ VanillaSwap() [3/5]
| QuantLibAddin::VanillaSwap::VanillaSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const QuantLib::Period & | swapTenor, | ||
| const boost::shared_ptr< QuantLib::IborIndex > & | iborIndex, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::Date & | immDate, | ||
| const QuantLib::DayCounter & | fixLegDayCounter, | ||
| QuantLib::Spread | floatingLegSpread, | ||
| const boost::shared_ptr< QuantLib::PricingEngine > & | engine, | ||
| bool | permanent | ||
| ) |
◆ VanillaSwap() [4/5]
| QuantLibAddin::VanillaSwap::VanillaSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const boost::shared_ptr< QuantLib::SwapIndex > & | swapIndex, | ||
| const QuantLib::Date & | fixingDate, | ||
| bool | permanent | ||
| ) |
◆ VanillaSwap() [5/5]
| QuantLibAddin::VanillaSwap::VanillaSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const boost::shared_ptr< QuantLib::SwapRateHelper > & | swapRH, | ||
| bool | permanent | ||
| ) |
Member Function Documentation
◆ fixedLegAnalysis()
| std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::VanillaSwap::fixedLegAnalysis | ( | const QuantLib::Date & | d | ) |
◆ floatingLegAnalysis()
| std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::VanillaSwap::floatingLegAnalysis | ( | const QuantLib::Date & | ) |
The documentation for this class was generated from the following file: