ql/cashflows/cashflowvectors.hpp File Reference
Detailed Description
Cash flow vector builders.
#include <ql/cashflow.hpp>
#include <ql/time/schedule.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/cmscoupon.hpp>
#include <ql/indexes/swapindex.hpp>
Include dependency graph for cashflowvectors.hpp:

Namespaces | |
namespace | QuantLib |
Functions | |
Leg | FixedRateLeg (const std::vector< Real > &nominals, const Schedule &schedule, const std::vector< Rate > &couponRates, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdjustment=Following, const DayCounter &firstPeriodDayCounter=DayCounter()) |
helper function building a sequence of fixed rate coupons | |
Leg | IborLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), const BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Size >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool isInArrears=false) |
helper function building a sequence of capped/floored ibor rate coupons | |
Leg | CmsLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Size >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool isInArrears=false) |
helper function building a sequence of capped/floored cms rate coupons | |
Leg | CmsZeroLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< SwapIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >()) |
helper function building a sequence of capped/floored cms zero rate coupons | |
Leg | RangeAccrualLeg (const std::vector< Real > &nominals, const Schedule &schedule, const boost::shared_ptr< IborIndex > &index, const DayCounter &paymentDayCounter=DayCounter(), BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(), const std::vector< Spread > &spreads=std::vector< Spread >(), const std::vector< Rate > &lowerTriggers=std::vector< Rate >(), const std::vector< Rate > &upperTriggers=std::vector< Rate >(), const Period &observationTenor=1 *Days, BusinessDayConvention observationConvention=ModifiedFollowing) |
helper function building a sequence of range accrual floaters coupons |