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:

Include dependency graph

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
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

Function Documentation

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

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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