cashflows.hpp File Reference

some cashflow related utilities. More...

#include <qle/cashflows/overnightindexedcoupon.hpp>
#include <qle/utilities/time.hpp>
#include <ql/cashflows/averagebmacoupon.hpp>

Functions
Real	getOisAtmLevel (const QuantLib::ext::shared_ptr< OvernightIndex > &on, const Date &fixingDate, const Period &rateComputationPeriod)
Real	getBMAAtmLevel (const QuantLib::ext::shared_ptr< BMAIndex > &bma, const Date &fixingDate, const Period &rateComputationPeriod)

Detailed Description

some cashflow related utilities.

Function Documentation

getOisAtmLevel()

Real QuantExt::getOisAtmLevel	(	const QuantLib::ext::shared_ptr< OvernightIndex > &	on,
		const Date &	fixingDate,
		const Period &	rateComputationPeriod
	)

Utility function for calculating the atm strike level to a given fixingDate based on a given ois index, on, and a given irate computation period, rateComputationPeriod.

getBMAAtmLevel()

Real QuantExt::getBMAAtmLevel	(	const QuantLib::ext::shared_ptr< BMAIndex > &	bma,
		const Date &	fixingDate,
		const Period &	rateComputationPeriod
	)

Utility function for calculating the atm strike level to a given fixingDate based on a given BMA index, on, and a given irate computation period, rateComputationPeriod.