MultipleResetsLeg Class Reference

helper class building a sequence of multiple-reset coupons More...

#include <multipleresetscoupon.hpp>

Collaboration diagram for MultipleResetsLeg:

Public Member Functions
	MultipleResetsLeg (Schedule fullResetSchedule, ext::shared_ptr< IborIndex > index, Size resetsPerCoupon)
MultipleResetsLeg &	withNotionals (Real notional)
MultipleResetsLeg &	withNotionals (const std::vector< Real > &notionals)
MultipleResetsLeg &	withPaymentDayCounter (const DayCounter &)
MultipleResetsLeg &	withPaymentAdjustment (BusinessDayConvention)
MultipleResetsLeg &	withPaymentCalendar (const Calendar &)
MultipleResetsLeg &	withPaymentLag (Integer lag)
MultipleResetsLeg &	withFixingDays (Natural fixingDays)
MultipleResetsLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
MultipleResetsLeg &	withGearings (Real gearing)
MultipleResetsLeg &	withGearings (const std::vector< Real > &gearings)
MultipleResetsLeg &	withCouponSpreads (Spread spread)
MultipleResetsLeg &	withCouponSpreads (const std::vector< Spread > &spreads)
MultipleResetsLeg &	withRateSpreads (Spread spread)
MultipleResetsLeg &	withRateSpreads (const std::vector< Spread > &spreads)
MultipleResetsLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
MultipleResetsLeg &	withAveragingMethod (RateAveraging::Type averagingMethod)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< IborIndex >	index_
Size	resetsPerCoupon_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
Calendar	paymentCalendar_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	couponSpreads_
std::vector< Spread >	rateSpreads_
RateAveraging::Type	averagingMethod_ = RateAveraging::Compound
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Unadjusted
bool	exCouponEndOfMonth_ = false

Detailed Description

helper class building a sequence of multiple-reset coupons

Definition at line 165 of file multipleresetscoupon.hpp.

Constructor & Destructor Documentation

MultipleResetsLeg()

MultipleResetsLeg	(	Schedule	fullResetSchedule,
		ext::shared_ptr< IborIndex >	index,
		Size	resetsPerCoupon
	)

Parameters

fullResetSchedule	the full schedule specifying reset periods for all coupons.
index	the index whose fixings will be used; it should have the same tenor as the resets.
resetsPerCoupon	the number of resets for each coupon; the number of periods in the schedule should be divided exactly by this number.

Definition at line 197 of file multipleresetscoupon.cpp.

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Member Function Documentation

withNotionals() [1/2]

MultipleResetsLeg & withNotionals

(

Real

notional

)

Definition at line 208 of file multipleresetscoupon.cpp.

withNotionals() [2/2]

MultipleResetsLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 213 of file multipleresetscoupon.cpp.

withPaymentDayCounter()

MultipleResetsLeg & withPaymentDayCounter

(

const DayCounter &

dc

)

Definition at line 218 of file multipleresetscoupon.cpp.

withPaymentAdjustment()

MultipleResetsLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 223 of file multipleresetscoupon.cpp.

withPaymentCalendar()

MultipleResetsLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 228 of file multipleresetscoupon.cpp.

withPaymentLag()

MultipleResetsLeg & withPaymentLag

(

Integer

lag

)

Definition at line 233 of file multipleresetscoupon.cpp.

withFixingDays() [1/2]

MultipleResetsLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 238 of file multipleresetscoupon.cpp.

withFixingDays() [2/2]

MultipleResetsLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 243 of file multipleresetscoupon.cpp.

withGearings() [1/2]

MultipleResetsLeg & withGearings

(

Real

gearing

)

Definition at line 248 of file multipleresetscoupon.cpp.

withGearings() [2/2]

MultipleResetsLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 253 of file multipleresetscoupon.cpp.

withCouponSpreads() [1/2]

MultipleResetsLeg & withCouponSpreads

(

Spread

spread

)

Definition at line 258 of file multipleresetscoupon.cpp.

withCouponSpreads() [2/2]

MultipleResetsLeg & withCouponSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 263 of file multipleresetscoupon.cpp.

withRateSpreads() [1/2]

MultipleResetsLeg & withRateSpreads

(

Spread

spread

)

Definition at line 268 of file multipleresetscoupon.cpp.

withRateSpreads() [2/2]

MultipleResetsLeg & withRateSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 273 of file multipleresetscoupon.cpp.

withExCouponPeriod()

MultipleResetsLeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = false
	)

Definition at line 283 of file multipleresetscoupon.cpp.

withAveragingMethod()

MultipleResetsLeg & withAveragingMethod

(

RateAveraging::Type

averagingMethod

)

Definition at line 278 of file multipleresetscoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 294 of file multipleresetscoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 198 of file multipleresetscoupon.hpp.

index_

ext::shared_ptr<IborIndex> index_

private

Definition at line 199 of file multipleresetscoupon.hpp.

resetsPerCoupon_

Size resetsPerCoupon_

private

Definition at line 200 of file multipleresetscoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 201 of file multipleresetscoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 202 of file multipleresetscoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 203 of file multipleresetscoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 204 of file multipleresetscoupon.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 205 of file multipleresetscoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 206 of file multipleresetscoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 207 of file multipleresetscoupon.hpp.

couponSpreads_

std::vector<Spread> couponSpreads_

private

Definition at line 208 of file multipleresetscoupon.hpp.

rateSpreads_

std::vector<Spread> rateSpreads_

private

Definition at line 209 of file multipleresetscoupon.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_ = RateAveraging::Compound

private

Definition at line 210 of file multipleresetscoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 211 of file multipleresetscoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 212 of file multipleresetscoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Unadjusted

private

Definition at line 213 of file multipleresetscoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 214 of file multipleresetscoupon.hpp.