Cross currency swap. More...
#include <qle/instruments/crossccyswap.hpp>
Classes | |
class | arguments |
class | engine |
class | results |
Public Member Functions | |
Additional interface | |
const Currency & | legCurrency (Size j) const |
Real | inCcyLegBPS (Size j) const |
Real | inCcyLegNPV (Size j) const |
DiscountFactor | npvDateDiscounts (Size j) const |
Constructors | |
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) | |
CrossCcySwap (Size legs) | |
Cross currency swap.
The first leg holds the pay currency cashflows and second leg holds the receive currency cashflows.
\ingroup instruments
CrossCcySwap | ( | const std::vector< Leg > & | legs, |
const std::vector< bool > & | payer, | ||
const std::vector< Currency > & | currencies | ||
) |
Multi leg constructor.
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protected |
This constructor can be used by derived classes that will build their legs themselves.