some cashflow related utilities. More...
#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/utilities/time.hpp>
#include <ql/cashflows/averagebmacoupon.hpp>
Functions | |
Real | getOisAtmLevel (const boost::shared_ptr< OvernightIndex > &on, const Date &fixingDate, const Period &rateComputationPeriod) |
Real | getBMAAtmLevel (const boost::shared_ptr< BMAIndex > &bma, const Date &fixingDate, const Period &rateComputationPeriod) |
some cashflow related utilities.
Real QuantExt::getOisAtmLevel | ( | const boost::shared_ptr< OvernightIndex > & | on, |
const Date & | fixingDate, | ||
const Period & | rateComputationPeriod | ||
) |
Utility function for calculating the atm strike level to a given fixingDate
based on a given ois index, on
, and a given irate computation period, rateComputationPeriod
.
Real QuantExt::getBMAAtmLevel | ( | const boost::shared_ptr< BMAIndex > & | bma, |
const Date & | fixingDate, | ||
const Period & | rateComputationPeriod | ||
) |
Utility function for calculating the atm strike level to a given fixingDate
based on a given BMA index, on
, and a given irate computation period, rateComputationPeriod
.