CmsSpreadLeg Class Reference

helper class building a sequence of capped/floored cms-spread-rate coupons More...

#include <cmsspreadcoupon.hpp>

Collaboration diagram for CmsSpreadLeg:

Public Member Functions
	CmsSpreadLeg (Schedule schedule, ext::shared_ptr< SwapSpreadIndex > swapSpreadIndex)
CmsSpreadLeg &	withNotionals (Real notional)
CmsSpreadLeg &	withNotionals (const std::vector< Real > &notionals)
CmsSpreadLeg &	withPaymentDayCounter (const DayCounter &)
CmsSpreadLeg &	withPaymentAdjustment (BusinessDayConvention)
CmsSpreadLeg &	withFixingDays (Natural fixingDays)
CmsSpreadLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
CmsSpreadLeg &	withGearings (Real gearing)
CmsSpreadLeg &	withGearings (const std::vector< Real > &gearings)
CmsSpreadLeg &	withSpreads (Spread spread)
CmsSpreadLeg &	withSpreads (const std::vector< Spread > &spreads)
CmsSpreadLeg &	withCaps (Rate cap)
CmsSpreadLeg &	withCaps (const std::vector< Rate > &caps)
CmsSpreadLeg &	withFloors (Rate floor)
CmsSpreadLeg &	withFloors (const std::vector< Rate > &floors)
CmsSpreadLeg &	inArrears (bool flag=true)
CmsSpreadLeg &	withZeroPayments (bool flag=true)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< SwapSpreadIndex >	swapSpreadIndex_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = Following
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	caps_
std::vector< Rate >	floors_
bool	inArrears_ = false
bool	zeroPayments_ = false

Detailed Description

helper class building a sequence of capped/floored cms-spread-rate coupons

Definition at line 103 of file cmsspreadcoupon.hpp.

Constructor & Destructor Documentation

CmsSpreadLeg()

CmsSpreadLeg	(	Schedule	schedule,
		ext::shared_ptr< SwapSpreadIndex >	swapSpreadIndex
	)

Definition at line 47 of file cmsspreadcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

CmsSpreadLeg & withNotionals

(

Real

notional

)

Definition at line 52 of file cmsspreadcoupon.cpp.

withNotionals() [2/2]

CmsSpreadLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 58 of file cmsspreadcoupon.cpp.

withPaymentDayCounter()

CmsSpreadLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 64 of file cmsspreadcoupon.cpp.

withPaymentAdjustment()

CmsSpreadLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 70 of file cmsspreadcoupon.cpp.

withFixingDays() [1/2]

CmsSpreadLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 75 of file cmsspreadcoupon.cpp.

withFixingDays() [2/2]

CmsSpreadLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 81 of file cmsspreadcoupon.cpp.

withGearings() [1/2]

CmsSpreadLeg & withGearings

(

Real

gearing

)

Definition at line 86 of file cmsspreadcoupon.cpp.

withGearings() [2/2]

CmsSpreadLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 92 of file cmsspreadcoupon.cpp.

withSpreads() [1/2]

CmsSpreadLeg & withSpreads

(

Spread

spread

)

Definition at line 97 of file cmsspreadcoupon.cpp.

withSpreads() [2/2]

CmsSpreadLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 103 of file cmsspreadcoupon.cpp.

withCaps() [1/2]

CmsSpreadLeg & withCaps

(

Rate

cap

)

Definition at line 108 of file cmsspreadcoupon.cpp.

withCaps() [2/2]

CmsSpreadLeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 113 of file cmsspreadcoupon.cpp.

withFloors() [1/2]

CmsSpreadLeg & withFloors

(

Rate

floor

)

Definition at line 118 of file cmsspreadcoupon.cpp.

withFloors() [2/2]

CmsSpreadLeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 123 of file cmsspreadcoupon.cpp.

inArrears()

CmsSpreadLeg & inArrears

(

bool

flag = true

)

Definition at line 128 of file cmsspreadcoupon.cpp.

withZeroPayments()

CmsSpreadLeg & withZeroPayments

(

bool

flag = true

)

Definition at line 133 of file cmsspreadcoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 138 of file cmsspreadcoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 124 of file cmsspreadcoupon.hpp.

swapSpreadIndex_

ext::shared_ptr<SwapSpreadIndex> swapSpreadIndex_

private

Definition at line 125 of file cmsspreadcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 126 of file cmsspreadcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 127 of file cmsspreadcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 128 of file cmsspreadcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 129 of file cmsspreadcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 130 of file cmsspreadcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 131 of file cmsspreadcoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 132 of file cmsspreadcoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 132 of file cmsspreadcoupon.hpp.

inArrears_

bool inArrears_ = false

private

Definition at line 133 of file cmsspreadcoupon.hpp.

zeroPayments_

bool zeroPayments_ = false

private

Definition at line 133 of file cmsspreadcoupon.hpp.