Reference manual - version qle_version
Single currency sub periods swap. More...
#include <qle/instruments/subperiodsswap.hpp>
Inheritance diagram for SubPeriodsSwap:Public Member Functions | |
Constructors | |
| SubPeriodsSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, bool isPayer, const Period &fixedTenor, Rate fixedRate, const Calendar &fixedCalendar, const DayCounter &fixedDayCount, BusinessDayConvention fixedConvention, const Period &floatPayTenor, const boost::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatingDayCount, DateGeneration::Rule rule=DateGeneration::Backward, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding) | |
| Constructor with conventions deduced from the index. | |
Inspectors | |
| Real | nominal () const |
| bool | isPayer () const |
| const Schedule & | fixedSchedule () const |
| Rate | fixedRate () const |
| const Leg & | fixedLeg () const |
| const Schedule & | floatSchedule () const |
| const boost::shared_ptr< IborIndex > & | floatIndex () const |
| QuantExt::SubPeriodsCoupon1::Type | type () const |
| const Period & | floatPayTenor () const |
| const Leg & | floatLeg () const |
Results | |
| Real | fairRate () const |
| Real | fixedLegBPS () const |
| Real | fixedLegNPV () const |
| Real | floatLegBPS () const |
| Real | floatLegNPV () const |
Single currency sub periods swap.
