Reference manual - version qle_version
#include <qle/instruments/crossccyfixfloatswap.hpp>
Classes | |
| class | arguments |
| class | results |
Public Types | |
| enum | Type { Receiver = -1 , Payer = 1 } |
Public Member Functions | |
Constructors | |
| CrossCcyFixFloatSwap (Type type, QuantLib::Real fixedNominal, const QuantLib::Currency &fixedCurrency, const QuantLib::Schedule &fixedSchedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixedDayCount, QuantLib::BusinessDayConvention fixedPaymentBdc, QuantLib::Natural fixedPaymentLag, const QuantLib::Calendar &fixedPaymentCalendar, QuantLib::Real floatNominal, const QuantLib::Currency &floatCurrency, const QuantLib::Schedule &floatSchedule, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &floatIndex, QuantLib::Spread floatSpread, QuantLib::BusinessDayConvention floatPaymentBdc, QuantLib::Natural floatPaymentLag, const QuantLib::Calendar &floatPaymentCalendar, const bool telescopicValueDates=false, QuantLib::ext::optional< bool > floatIncludeSpread=QuantLib::ext::nullopt, QuantLib::ext::optional< Period > floatLookback=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > floatFixingDays=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > floatRateCutoff=QuantLib::ext::nullopt, QuantLib::ext::optional< bool > floatIsAveraged=QuantLib::ext::nullopt) | |
| Detailed constructor. | |
Inspectors | |
| Type | type () const |
| QuantLib::Real | fixedNominal () const |
| const QuantLib::Currency & | fixedCurrency () const |
| const QuantLib::Schedule & | fixedSchedule () const |
| QuantLib::Rate | fixedRate () const |
| const QuantLib::DayCounter & | fixedDayCount () const |
| QuantLib::BusinessDayConvention | fixedPaymentBdc () const |
| QuantLib::Natural | fixedPaymentLag () const |
| const QuantLib::Calendar & | fixedPaymentCalendar () const |
| QuantLib::Real | floatNominal () const |
| const QuantLib::Currency & | floatCurrency () const |
| const QuantLib::Schedule & | floatSchedule () const |
| const QuantLib::ext::shared_ptr< QuantLib::IborIndex > & | floatIndex () const |
| QuantLib::Rate | floatSpread () const |
| QuantLib::BusinessDayConvention | floatPaymentBdc () const |
| QuantLib::Natural | floatPaymentLag () const |
| const QuantLib::Calendar & | floatPaymentCalendar () const |
| QuantLib::ext::optional< bool > | floatIncludeSpread () const |
| QuantLib::ext::optional< Period > | floatLookback () const |
| QuantLib::ext::optional< Size > | floatFixingDays () const |
| QuantLib::ext::optional< Size > | floatRateCutoff () const |
| QuantLib::ext::optional< bool > | floatIsAveraged () const |
Additional interface | |
| QuantLib::Rate | fairFixedRate () const |
| QuantLib::Spread | fairSpread () const |
| Public Member Functions inherited from CrossCcySwap | |
| const Currency & | legCurrency (Size j) const |
| Real | inCcyLegBPS (Size j) const |
| Real | inCcyLegNPV (Size j) const |
| DiscountFactor | npvDateDiscounts (Size j) const |
| void | setupArguments (PricingEngine::arguments *args) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy) | |
| First leg is paid and the second is received. | |
| CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > ¤cies) | |
Instrument interface | |
| void | setupArguments (QuantLib::PricingEngine::arguments *a) const override |
| void | fetchResults (const QuantLib::PricingEngine::results *r) const override |
| void | setupExpired () const override |
Additional Inherited Members | |
| void | setupExpired () const override |
| CrossCcySwap (Size legs) | |
| std::vector< Currency > | currencies_ |
Cross currency fixed vs float swap
