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Sourcecode: quantlib version File versions

cmscoupon.hpp File Reference


Detailed Description

CMS coupon.

Definition in file cmscoupon.hpp.

#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Indexes/swapindex.hpp>
#include <ql/swaptionvolstructure.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::CMSCoupon
 CMS coupon class. More...
class  QuantLib::VanillaCMSCouponPricer
 pricer for vanilla CMS coupons More...

Functions

std::vector< boost::shared_ptr
< CashFlow > > 
QuantLib::CMSCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRates, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol)
std::vector< boost::shared_ptr
< CashFlow > > 
QuantLib::CMSInArrearsCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRates, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol)
std::vector< boost::shared_ptr
< CashFlow > > 
QuantLib::CMSZeroCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRates, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol)


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