ql/CashFlows/cashflowvectors.hpp File Reference
Detailed Description
Cash flow vector builders.
#include <ql/cashflow.hpp>
#include <ql/Indexes/xibor.hpp>
#include <ql/schedule.hpp>
Include dependency graph for cashflowvectors.hpp:
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Namespaces |
namespace | QuantLib |
Functions |
std::vector< boost::shared_ptr<
CashFlow > > | FixedRateCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const std::vector< Rate > &couponRates, const DayCounter &dayCount, const DayCounter &firstPeriodDayCount=DayCounter()) |
| helper function building a sequence of fixed rate coupons
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std::vector< boost::shared_ptr<
CashFlow > > | FloatingRateCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< Xibor > &index, Integer fixingDays, const std::vector< Spread > &spreads=std::vector< Spread >(), const DayCounter &dayCounter=DayCounter()) |
| helper function building a sequence of par coupons
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Function Documentation
std::vector<boost::shared_ptr<CashFlow> > FloatingRateCouponVector |
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const Schedule & |
schedule, |
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BusinessDayConvention |
paymentAdjustment, |
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const std::vector< Real > & |
nominals, |
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const boost::shared_ptr< Xibor > & |
index, |
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Integer |
fixingDays, |
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const std::vector< Spread > & |
spreads = std::vector< Spread >() , |
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const DayCounter & |
dayCounter = DayCounter() |
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helper function building a sequence of par coupons
Either UpFrontIndexedCoupons or ParCoupons are used depending on the library configuration.
- Todo:
- A suitable algorithm should be implemented for the calculation of the interpolated index fixing for a short/long first coupon.
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