QuantLib_NonstandardSwap man page

NonstandardSwap — nonstandard swap

Synopsis

#include <ql/instruments/nonstandardswap.hpp>

Inherits Swap.

Classes

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

Public Member Functions

NonstandardSwap (const VanillaSwap &fromVanilla)

NonstandardSwap (const VanillaSwap::Type type, const std::vector< Real > &fixedNominal, const std::vector< Real > &floatingNominal, const Schedule &fixedSchedule, const std::vector< Real > &fixedRate, const DayCounter &fixedDayCount, const Schedule &floatingSchedule, const boost::shared_ptr< IborIndex > &iborIndex, const Real gearing, const Spread spread, const DayCounter &floatingDayCount, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, boost::optional< BusinessDayConvention > paymentConvention=boost::none)

NonstandardSwap (const VanillaSwap::Type type, const std::vector< Real > &fixedNominal, const std::vector< Real > &floatingNominal, const Schedule &fixedSchedule, const std::vector< Real > &fixedRate, const DayCounter &fixedDayCount, const Schedule &floatingSchedule, const boost::shared_ptr< IborIndex > &iborIndex, const std::vector< Real > &gearing, const std::vector< Spread > &spread, const DayCounter &floatingDayCount, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, boost::optional< BusinessDayConvention > paymentConvention=boost::none)

void setupArguments (PricingEngine::arguments *args) const

void fetchResults (const PricingEngine::results *) const

Inspectors

VanillaSwap::Type type () const

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

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

const Schedule & fixedSchedule () const

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

const DayCounter & fixedDayCount () const

const Schedule & floatingSchedule () const

const boost::shared_ptr< IborIndex > & iborIndex () const

Spread spread () const

Real gearing () const

const std::vector< Spread > & spreads () const

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

const DayCounter & floatingDayCount () const

BusinessDayConvention paymentConvention () const

const Leg & fixedLeg () const

const Leg & floatingLeg () const

Additional Inherited Members

Detailed Description

nonstandard 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

fixedNominal(3), floatingDayCount(3), floatingNominal(3), floatingSchedule(3), NonstandardSwap(3) and paymentConvention(3) are aliases of QuantLib_NonstandardSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib