cashflowvectors.hpp

Langue: en

Autres versions - même langue

Version: 376423 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

NAME

ql/cashflows/cashflowvectors.hpp -

Cash flow vector builders.

SYNOPSIS


#include <ql/cashflows/fixedratecoupon.hpp>
#include <ql/cashflows/replication.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/null.hpp>
#include <ql/utilities/vectors.hpp>
#include <ql/position.hpp>
#include <ql/indexes/swapindex.hpp>

Functions


Rate effectiveFixedRate (const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)

bool noOption (const std::vector< Rate > &caps, const std::vector< Rate > &floors, Size i)

template<typename InterestRateIndexType , typename FloatingCouponType , typename CappedFlooredCouponType > Leg FloatingLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, const std::vector< Rate > &caps, const std::vector< Rate > &floors, bool isInArrears, bool isZero)

template<typename InterestRateIndexType , typename FloatingCouponType , typename DigitalCouponType > Leg FloatingDigitalLeg (const Schedule &schedule, const std::vector< Real > &nominals, const boost::shared_ptr< InterestRateIndexType > &index, const DayCounter &paymentDayCounter, BusinessDayConvention paymentAdj, const std::vector< Natural > &fixingDays, const std::vector< Real > &gearings, const std::vector< Spread > &spreads, bool isInArrears, const std::vector< Rate > &callStrikes, Position::Type callPosition, bool isCallATMIncluded, const std::vector< Rate > &callDigitalPayoffs, const std::vector< Rate > &putStrikes, Position::Type putPosition, bool isPutATMIncluded, const std::vector< Rate > &putDigitalPayoffs, const boost::shared_ptr< DigitalReplication > &replication)

Detailed Description

Cash flow vector builders.

Author

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