MakeSwaption Class Reference

helper class More...

#include <makeswaption.hpp>

Collaboration diagram for MakeSwaption:

Public Member Functions
	MakeSwaption (ext::shared_ptr< SwapIndex > swapIndex, const Period &optionTenor, Rate strike=Null< Rate >())
	MakeSwaption (ext::shared_ptr< SwapIndex > swapIndex, const Date &fixingDate, Rate strike=Null< Rate >())
	operator Swaption () const
	operator ext::shared_ptr< Swaption > () const
MakeSwaption &	withNominal (Real n)
MakeSwaption &	withSettlementType (Settlement::Type delivery)
MakeSwaption &	withSettlementMethod (Settlement::Method settlementMethod)
MakeSwaption &	withOptionConvention (BusinessDayConvention bdc)
MakeSwaption &	withExerciseDate (const Date &)
MakeSwaption &	withUnderlyingType (Swap::Type type)
MakeSwaption &	withIndexedCoupons (const ext::optional< bool > &b=true)
MakeSwaption &	withAtParCoupons (bool b=true)
MakeSwaption &	withPricingEngine (const ext::shared_ptr< PricingEngine > &engine)

Private Attributes
ext::shared_ptr< SwapIndex >	swapIndex_
Settlement::Type	delivery_
Settlement::Method	settlementMethod_
ext::shared_ptr< FixedVsFloatingSwap >	underlyingSwap_
Period	optionTenor_
BusinessDayConvention	optionConvention_
Date	fixingDate_
Date	exerciseDate_
ext::shared_ptr< Exercise >	exercise_
Rate	strike_
Swap::Type	underlyingType_
Real	nominal_
ext::optional< bool >	useIndexedCoupons_
ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard market swaption.

Definition at line 45 of file makeswaption.hpp.

Constructor & Destructor Documentation

MakeSwaption() [1/2]

MakeSwaption	(	ext::shared_ptr< SwapIndex >	swapIndex,
		const Period &	optionTenor,
		Rate	strike = Null<Rate>()
	)

Definition at line 34 of file makeswaption.cpp.

MakeSwaption() [2/2]

MakeSwaption	(	ext::shared_ptr< SwapIndex >	swapIndex,
		const Date &	fixingDate,
		Rate	strike = Null<Rate>()
	)

Definition at line 42 of file makeswaption.cpp.

Member Function Documentation

operator Swaption()

operator Swaption

(

)

const

Definition at line 49 of file makeswaption.cpp.

operator ext::shared_ptr< Swaption >()

operator ext::shared_ptr< Swaption >

(

)

const

Definition at line 54 of file makeswaption.cpp.

Here is the call graph for this function:

withNominal()

MakeSwaption & withNominal

(

Real

n

)

Definition at line 179 of file makeswaption.cpp.

withSettlementType()

MakeSwaption & withSettlementType

(

Settlement::Type

delivery

)

Definition at line 146 of file makeswaption.cpp.

withSettlementMethod()

MakeSwaption & withSettlementMethod

(

Settlement::Method

settlementMethod

)

Definition at line 151 of file makeswaption.cpp.

withOptionConvention()

MakeSwaption & withOptionConvention

(

BusinessDayConvention

bdc

)

Definition at line 158 of file makeswaption.cpp.

withExerciseDate()

MakeSwaption & withExerciseDate

(

const Date &

date

)

Definition at line 163 of file makeswaption.cpp.

withUnderlyingType()

MakeSwaption & withUnderlyingType

(

Swap::Type

type

)

Definition at line 168 of file makeswaption.cpp.

Here is the caller graph for this function:

withIndexedCoupons()

MakeSwaption & withIndexedCoupons

(

const ext::optional< bool > &

b = true

)

Definition at line 184 of file makeswaption.cpp.

withAtParCoupons()

MakeSwaption & withAtParCoupons

(

bool

b = true

)

Definition at line 189 of file makeswaption.cpp.

withPricingEngine()

MakeSwaption & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 173 of file makeswaption.cpp.

Here is the caller graph for this function:

Member Data Documentation

swapIndex_

ext::shared_ptr<SwapIndex> swapIndex_

private

Definition at line 70 of file makeswaption.hpp.

delivery_

Settlement::Type delivery_

private

Definition at line 71 of file makeswaption.hpp.

settlementMethod_

Settlement::Method settlementMethod_

private

Definition at line 72 of file makeswaption.hpp.

underlyingSwap_

ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap_

mutableprivate

Definition at line 73 of file makeswaption.hpp.

optionTenor_

Period optionTenor_

private

Definition at line 75 of file makeswaption.hpp.

optionConvention_

BusinessDayConvention optionConvention_

private

Definition at line 76 of file makeswaption.hpp.

fixingDate_

Date fixingDate_

mutableprivate

Definition at line 77 of file makeswaption.hpp.

exerciseDate_

Date exerciseDate_

private

Definition at line 78 of file makeswaption.hpp.

exercise_

ext::shared_ptr<Exercise> exercise_

mutableprivate

Definition at line 79 of file makeswaption.hpp.

strike_

Rate strike_

private

Definition at line 81 of file makeswaption.hpp.

underlyingType_

Swap::Type underlyingType_

private

Definition at line 82 of file makeswaption.hpp.

nominal_

Real nominal_

private

Definition at line 83 of file makeswaption.hpp.

useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

private

Definition at line 84 of file makeswaption.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 86 of file makeswaption.hpp.