TRS Instrument Wrapper. More...
#include <ored/portfolio/trswrapper.hpp>
Classes | |
class | arguments |
class | engine |
class | results |
Public Member Functions | |
TRSWrapper (const std::vector< boost::shared_ptr< ore::data::Trade >> &underlying, const std::vector< boost::shared_ptr< QuantLib::Index >> &underlyingIndex, const std::vector< QuantLib::Real > underlyingMultiplier, const bool includeUnderlyingCashflowsInReturn, const QuantLib::Real initialPrice, const QuantLib::Currency &initialPriceCurrency, const std::vector< QuantLib::Currency > &assetCurrency, const QuantLib::Currency &returnCurrency, const std::vector< QuantLib::Date > &valuationSchedule, const std::vector< QuantLib::Date > &paymentSchedule, const std::vector< QuantLib::Leg > &fundingLegs, const std::vector< TRS::FundingData::NotionalType > &fundingNotionalTypes, const QuantLib::Currency &fundingCurrency, const QuantLib::Size fundingResetGracePeriod, const bool paysAsset, const bool paysFunding, const QuantLib::Leg &additionalCashflowLeg, const bool additionalCashflowLegPayer, const QuantLib::Currency &additionalCashflowCurrency, const std::vector< boost::shared_ptr< QuantExt::FxIndex >> &fxIndexAsset, const boost::shared_ptr< QuantExt::FxIndex > &fxIndexReturn, const boost::shared_ptr< QuantExt::FxIndex > &fxIndexAdditionalCashflows, const std::map< std::string, boost::shared_ptr< QuantExt::FxIndex >> &addFxindices) | |
Instrument interface | |
bool | isExpired () const override |
void | setupArguments (QuantLib::PricingEngine::arguments *) const override |
void | fetchResults (const QuantLib::PricingEngine::results *) const override |
TRS Instrument Wrapper.