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Sourcecode: quantlib version File versions

cashflowvectors.hpp File Reference


Detailed Description

Cash flow vector builders.

Definition in file cashflowvectors.hpp.

#include <ql/cashflow.hpp>
#include <ql/time/schedule.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/indexes/swapindex.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Functions

Leg QuantLib::CmsLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Size >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool isInArrears=false)
 helper function building a sequence of capped/floored cms rate coupons
Leg QuantLib::CmsZeroLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >())
 helper function building a sequence of capped/floored cms zero rate coupons
Leg QuantLib::FixedRateLeg (const std::vector< Real > &nominals, const Schedule &schedule, const std::vector< Rate > &couponRates, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdjustment=Following, const DayCounter &firstPeriodDayCounter=DayCounter())
 helper function building a sequence of fixed rate coupons
Leg QuantLib::IborLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), const BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Size >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool isInArrears=false)
 helper function building a sequence of par coupons
Leg QuantLib::RangeAccrualLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &lowerTriggers=std::vector< Rate >(), const std::vector< Rate > &upperTriggers=std::vector< Rate >(), const Period &observationTenor=1 *Days, BusinessDayConvention observationConvention=ModifiedFollowing)
 helper function building a sequence of range accrual floaters coupons


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