QuantLib_FloatFloatSwap man page

FloatFloatSwap — float float swap

Synopsis

#include <ql/instruments/floatfloatswap.hpp>

Inherits Swap.

Classes

class arguments
Arguments for float float swap calculation
class results
Results from float float swap calculation

Public Member Functions

FloatFloatSwap (const VanillaSwap::Type type, const Real nominal1, const Real nominal2, const Schedule &schedule1, const boost::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const boost::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, const Real gearing1=1.0, const Real spread1=0.0, const Real cappedRate1=Null< Real >(), const Real flooredRate1=Null< Real >(), const Real gearing2=1.0, const Real spread2=0.0, const Real cappedRate2=Null< Real >(), const Real flooredRate2=Null< Real >(), boost::optional< BusinessDayConvention > paymentConvention1=boost::none, boost::optional< BusinessDayConvention > paymentConvention2=boost::none)

FloatFloatSwap (const VanillaSwap::Type type, const std::vector< Real > &nominal1, const std::vector< Real > &nominal2, const Schedule &schedule1, const boost::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const boost::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, const std::vector< Real > &gearing1=std::vector< Real >(), const std::vector< Real > &spread1=std::vector< Real >(), const std::vector< Real > &cappedRate1=std::vector< Real >(), const std::vector< Real > &flooredRate1=std::vector< Real >(), const std::vector< Real > &gearing2=std::vector< Real >(), const std::vector< Real > &spread2=std::vector< Real >(), const std::vector< Real > &cappedRate2=std::vector< Real >(), const std::vector< Real > &flooredRate2=std::vector< Real >(), boost::optional< BusinessDayConvention > paymentConvention1=boost::none, boost::optional< BusinessDayConvention > paymentConvention2=boost::none)

void setupArguments (PricingEngine::arguments *args) const

void fetchResults (const PricingEngine::results *) const

Inspectors

VanillaSwap::Type type () const

const std::vector< Real > & nominal1 () const

const std::vector< Real > & nominal2 () const

const Schedule & schedule1 () const

const Schedule & schedule2 () const

const boost::shared_ptr< InterestRateIndex > & index1 () const

const boost::shared_ptr< InterestRateIndex > & index2 () const

const std::vector< Real > spread1 () const

const std::vector< Real > spread2 () const

const std::vector< Real > gearing1 () const

const std::vector< Real > gearing2 () const

const std::vector< Rate > cappedRate1 () const

const std::vector< Rate > flooredRate1 () const

const std::vector< Rate > cappedRate2 () const

const std::vector< Rate > flooredRate2 () const

const DayCounter & dayCount1 () const

const DayCounter & dayCount2 () const

BusinessDayConvention paymentConvention1 () const

BusinessDayConvention paymentConvention2 () const

const Leg & leg1 () const

const Leg & leg2 () const

Additional Inherited Members

Detailed Description

float float swap

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

cappedRate1(3), cappedRate2(3), dayCount1(3), dayCount2(3), FloatFloatSwap(3), flooredRate1(3), flooredRate2(3), gearing1(3), gearing2(3), index1(3), index2(3), leg1(3), leg2(3), nominal1(3), nominal2(3), paymentConvention1(3), paymentConvention2(3), schedule1(3), schedule2(3), spread1(3) and spread2(3) are aliases of QuantLib_FloatFloatSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib