Discounting Swap Engine - Multi Curve. More...

#include <qle/pricingengines/discountingswapenginemulticurve.hpp>

Inheritance diagram for DiscountingSwapEngineMultiCurve:

Public Member Functions
	DiscountingSwapEngineMultiCurve (const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), bool minimalResults=true, boost::optional< bool > includeSettlementDateFlows=boost::none, Date settlementDate=Date(), Date npvDate=Date())

void	calculate () const override

Handle< YieldTermStructure >	discountCurve () const

Detailed Description

Discounting Swap Engine - Multi Curve.

This class prices a swap with numerous simplifications in the case of an ibor coupon leg to speed up the calculations:

the index of an IborCoupon is assumed to be fixing in advance and to have a tenor from accrual start date to accrual end date.
start and end discounts of Swap::results not populated.

Warning:
if an IborCoupon with non-natural fixing and/or accrual period is present, the NPV will be false

Public Member Functions