#include <qle/instruments/crossccyfixfloatswap.hpp>
Classes | |
class | arguments |
class | results |
Public Types | |
enum | Type { Receiver = -1 , Payer = 1 } |
Public Member Functions | |
Constructors | |
CrossCcyFixFloatSwap (Type type, QuantLib::Real fixedNominal, const QuantLib::Currency &fixedCurrency, const QuantLib::Schedule &fixedSchedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixedDayCount, QuantLib::BusinessDayConvention fixedPaymentBdc, QuantLib::Natural fixedPaymentLag, const QuantLib::Calendar &fixedPaymentCalendar, QuantLib::Real floatNominal, const QuantLib::Currency &floatCurrency, const QuantLib::Schedule &floatSchedule, const boost::shared_ptr< QuantLib::IborIndex > &floatIndex, QuantLib::Spread floatSpread, QuantLib::BusinessDayConvention floatPaymentBdc, QuantLib::Natural floatPaymentLag, const QuantLib::Calendar &floatPaymentCalendar) | |
Detailed constructor. | |
Inspectors | |
Type | type () const |
QuantLib::Real | fixedNominal () const |
const QuantLib::Currency & | fixedCurrency () const |
const QuantLib::Schedule & | fixedSchedule () const |
QuantLib::Rate | fixedRate () const |
const QuantLib::DayCounter & | fixedDayCount () const |
QuantLib::BusinessDayConvention | fixedPaymentBdc () const |
QuantLib::Natural | fixedPaymentLag () const |
const QuantLib::Calendar & | fixedPaymentCalendar () const |
QuantLib::Real | floatNominal () const |
const QuantLib::Currency & | floatCurrency () const |
const QuantLib::Schedule & | floatSchedule () const |
const boost::shared_ptr< QuantLib::IborIndex > & | floatIndex () const |
QuantLib::Rate | floatSpread () const |
QuantLib::BusinessDayConvention | floatPaymentBdc () const |
QuantLib::Natural | floatPaymentLag () const |
const QuantLib::Calendar & | floatPaymentCalendar () const |
Additional interface | |
QuantLib::Rate | fairFixedRate () const |
QuantLib::Spread | fairSpread () const |
Public Member Functions inherited from CrossCcySwap | |
const Currency & | legCurrency (Size j) const |
Real | inCcyLegBPS (Size j) const |
Real | inCcyLegNPV (Size j) const |
DiscountFactor | npvDateDiscounts (Size j) const |
void | setupArguments (PricingEngine::arguments *args) const override |
void | fetchResults (const PricingEngine::results *) const override |
CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy) | |
First leg is paid and the second is received. | |
CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > ¤cies) | |
Instrument interface | |
void | setupArguments (QuantLib::PricingEngine::arguments *a) const override |
void | fetchResults (const QuantLib::PricingEngine::results *r) const override |
void | setupExpired () const override |
Additional Inherited Members | |
Protected Member Functions inherited from CrossCcySwap | |
void | setupExpired () const override |
CrossCcySwap (Size legs) | |
Protected Attributes inherited from CrossCcySwap | |
std::vector< Currency > | currencies_ |
Cross currency fixed vs float swap