Bond TRS class. More...
#include <qle/instruments/bondtotalreturnswap.hpp>
Classes | |
class | arguments |
Public Types | |
using | engine = GenericEngine< BondTRS::arguments, BondTRS::results > |
using | results = BondTRS::results |
Public Member Functions | |
BondTRS (const boost::shared_ptr< QuantExt::BondIndex > &bondIndex, const Real bondNotional, const Real initialPrice, const std::vector< Leg > &fundingLeg, const bool payTotalReturnLeg, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const boost::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool payBondCashFlowsImmediately=false, const Currency &fundingCurrency=Currency(), const Currency &bondCurrency=Currency()) | |
Constructor. | |
Instrument interface | |
bool | isExpired () const override |
void | setupArguments (PricingEngine::arguments *) const override |
Inspectors | |
const boost::shared_ptr< QuantExt::BondIndex > & | bondIndex () const |
const boost::shared_ptr< QuantExt::FxIndex > & | fxIndex () const |
Real | bondNotional () const |
const std::vector< Leg > & | fundingLeg () const |
Real | initialPrice () const |
bool | payTotalReturnLeg () const |
const Leg & | returnLeg () const |
bool | payBondCashFlowsImmediately () const |
const std::vector< Date > & | valuationDates () const |
const std::vector< Date > & | paymentDates () const |
Bond TRS class.