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QuantLib::DigitalCmsLeg Class Reference

#include <digitalcmscoupon.hpp>

List of all members.


Detailed Description

helper class building a sequence of digital ibor-rate coupons

Definition at line 59 of file digitalcmscoupon.hpp.


Public Member Functions

 DigitalCmsLeg (const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index)
DigitalCmsLeginArrears (bool flag=true)
 operator Leg () const
DigitalCmsLegwithCallATM (bool flag=true)
DigitalCmsLegwithCallPayoffs (const std::vector< Rate > &payoffs)
DigitalCmsLegwithCallPayoffs (Rate payoff)
DigitalCmsLegwithCallStrikes (const std::vector< Rate > &strikes)
DigitalCmsLegwithCallStrikes (Rate strike)
DigitalCmsLegwithFixingDays (const std::vector< Natural > &fixingDays)
DigitalCmsLegwithFixingDays (Natural fixingDays)
DigitalCmsLegwithGearings (const std::vector< Real > &gearings)
DigitalCmsLegwithGearings (Real gearing)
DigitalCmsLegwithLongCallOption (Position::Type)
DigitalCmsLegwithLongPutOption (Position::Type)
DigitalCmsLegwithNotionals (const std::vector< Real > &notionals)
DigitalCmsLegwithNotionals (Real notional)
DigitalCmsLegwithPaymentAdjustment (BusinessDayConvention)
DigitalCmsLegwithPaymentDayCounter (const DayCounter &)
DigitalCmsLegwithPutATM (bool flag=true)
DigitalCmsLegwithPutPayoffs (const std::vector< Rate > &payoffs)
DigitalCmsLegwithPutPayoffs (Rate payoff)
DigitalCmsLegwithPutStrikes (const std::vector< Rate > &strikes)
DigitalCmsLegwithPutStrikes (Rate strike)
DigitalCmsLegwithReplication (const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >())
DigitalCmsLegwithSpreads (const std::vector< Spread > &spreads)
DigitalCmsLegwithSpreads (Spread spread)

Private Attributes

bool callATM_
std::vector< RatecallPayoffs_
std::vector< RatecallStrikes_
std::vector< NaturalfixingDays_
std::vector< Realgearings_
bool inArrears_
boost::shared_ptr< SwapIndexindex_
Position::Type longCallOption_
Position::Type longPutOption_
std::vector< Realnotionals_
BusinessDayConvention paymentAdjustment_
DayCounter paymentDayCounter_
bool putATM_
std::vector< RateputPayoffs_
std::vector< RateputStrikes_
boost::shared_ptr
< DigitalReplication > 
replication_
Schedule schedule_
std::vector< Spreadspreads_

The documentation for this class was generated from the following files:

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