FixedRateLeg Class Reference

helper class building a sequence of fixed rate coupons More...

#include <fixedratecoupon.hpp>

Collaboration diagram for FixedRateLeg:

Public Member Functions
	FixedRateLeg (Schedule schedule)
FixedRateLeg &	withNotionals (Real)
FixedRateLeg &	withNotionals (const std::vector< Real > &)
FixedRateLeg &	withCouponRates (Rate, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
FixedRateLeg &	withCouponRates (const std::vector< Rate > &, const DayCounter &paymentDayCounter, Compounding comp=Simple, Frequency freq=Annual)
FixedRateLeg &	withCouponRates (const InterestRate &)
FixedRateLeg &	withCouponRates (const std::vector< InterestRate > &)
FixedRateLeg &	withPaymentAdjustment (BusinessDayConvention)
FixedRateLeg &	withFirstPeriodDayCounter (const DayCounter &)
FixedRateLeg &	withLastPeriodDayCounter (const DayCounter &)
FixedRateLeg &	withPaymentCalendar (const Calendar &)
FixedRateLeg &	withPaymentLag (Integer lag)
FixedRateLeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
	operator Leg () const

Private Attributes
Schedule	schedule_
std::vector< Real >	notionals_
std::vector< InterestRate >	couponRates_
DayCounter	firstPeriodDC_
DayCounter	lastPeriodDC_
Calendar	paymentCalendar_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Following
bool	exCouponEndOfMonth_ = false

Detailed Description

helper class building a sequence of fixed rate coupons

Definition at line 90 of file fixedratecoupon.hpp.

Constructor & Destructor Documentation

FixedRateLeg()

FixedRateLeg

(

Schedule

schedule

)

Definition at line 92 of file fixedratecoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

FixedRateLeg & withNotionals

(

Real

notional

)

Definition at line 95 of file fixedratecoupon.cpp.

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withNotionals() [2/2]

FixedRateLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 100 of file fixedratecoupon.cpp.

withCouponRates() [1/4]

FixedRateLeg & withCouponRates	(	Rate	rate,
		const DayCounter &	paymentDayCounter,
		Compounding	comp = Simple,
		Frequency	freq = Annual
	)

Definition at line 105 of file fixedratecoupon.cpp.

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withCouponRates() [2/4]

FixedRateLeg & withCouponRates	(	const std::vector< Rate > &	rates,
		const DayCounter &	paymentDayCounter,
		Compounding	comp = Simple,
		Frequency	freq = Annual
	)

Definition at line 120 of file fixedratecoupon.cpp.

withCouponRates() [3/4]

FixedRateLeg & withCouponRates

(

const InterestRate &

i

)

Definition at line 114 of file fixedratecoupon.cpp.

withCouponRates() [4/4]

FixedRateLeg & withCouponRates

(

const std::vector< InterestRate > &

interestRates

)

Definition at line 130 of file fixedratecoupon.cpp.

withPaymentAdjustment()

FixedRateLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 136 of file fixedratecoupon.cpp.

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withFirstPeriodDayCounter()

FixedRateLeg & withFirstPeriodDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 142 of file fixedratecoupon.cpp.

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withLastPeriodDayCounter()

FixedRateLeg & withLastPeriodDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 148 of file fixedratecoupon.cpp.

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withPaymentCalendar()

FixedRateLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 154 of file fixedratecoupon.cpp.

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withPaymentLag()

FixedRateLeg & withPaymentLag

(

Integer

lag

)

Definition at line 159 of file fixedratecoupon.cpp.

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withExCouponPeriod()

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

Definition at line 164 of file fixedratecoupon.cpp.

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operator Leg()

operator Leg

(

)

const

Definition at line 176 of file fixedratecoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 116 of file fixedratecoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 117 of file fixedratecoupon.hpp.

couponRates_

std::vector<InterestRate> couponRates_

private

Definition at line 118 of file fixedratecoupon.hpp.

firstPeriodDC_

DayCounter firstPeriodDC_

private

Definition at line 119 of file fixedratecoupon.hpp.

lastPeriodDC_

DayCounter lastPeriodDC_

private

Definition at line 119 of file fixedratecoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 120 of file fixedratecoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 121 of file fixedratecoupon.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 122 of file fixedratecoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 123 of file fixedratecoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 124 of file fixedratecoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Following

private

Definition at line 125 of file fixedratecoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 126 of file fixedratecoupon.hpp.