BondTRS Class Reference

Bond TRS class. More...

#include <qle/instruments/bondtotalreturnswap.hpp>

Inheritance diagram for BondTRS:

Classes
class	arguments

Public Types
using	engine = GenericEngine<BondTRS::arguments, BondTRS::results>
using	results = BondTRS::results

Public Member Functions
	BondTRS (const QuantLib::ext::shared_ptr< QuantExt::BondIndex > &bondIndex, const Real bondNotional, const Real initialPrice, const std::vector< Leg > &fundingLeg, const bool payTotalReturnLeg, const std::vector< Date > &valuationDates, const std::vector< Date > &paymentDates, const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &fxIndex=nullptr, bool payBondCashFlowsImmediately=false, const Currency &fundingCurrency=Currency(), const Currency &bondCurrency=Currency(), const bool applyFXIndexFixingDays=false, const Period &payLagPeriod=Period(), const Calendar &paymentCalendar=WeekendsOnly())
	Constructor.
Instrument interface
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override

Inspectors
const QuantLib::ext::shared_ptr< QuantExt::BondIndex > &	bondIndex () const
const QuantLib::ext::shared_ptr< QuantExt::FxIndex > &	fxIndex () const
Real	bondNotional () const
const std::vector< Leg > &	fundingLeg () const
Real	initialPrice () const
bool	payTotalReturnLeg () const
const Leg &	returnLeg () const
bool	payBondCashFlowsImmediately () const
const std::vector< Date > &	valuationDates () const
const std::vector< Date > &	paymentDates () const
Period	paymentLag () const

Detailed Description

Bond TRS class.