QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
DigitalCmsSpreadLeg Class Reference

helper class building a sequence of digital ibor-rate coupons More...

#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>

Public Member Functions

 DigitalCmsSpreadLeg (const Schedule &schedule, const boost::shared_ptr< SwapSpreadIndex > &index)
 
DigitalCmsSpreadLegwithNotionals (Real notional)
 
DigitalCmsSpreadLegwithNotionals (const std::vector< Real > &notionals)
 
DigitalCmsSpreadLegwithPaymentDayCounter (const DayCounter &)
 
DigitalCmsSpreadLegwithPaymentAdjustment (BusinessDayConvention)
 
DigitalCmsSpreadLegwithFixingDays (Natural fixingDays)
 
DigitalCmsSpreadLegwithFixingDays (const std::vector< Natural > &fixingDays)
 
DigitalCmsSpreadLegwithGearings (Real gearing)
 
DigitalCmsSpreadLegwithGearings (const std::vector< Real > &gearings)
 
DigitalCmsSpreadLegwithSpreads (Spread spread)
 
DigitalCmsSpreadLegwithSpreads (const std::vector< Spread > &spreads)
 
DigitalCmsSpreadLeginArrears (bool flag=true)
 
DigitalCmsSpreadLegwithCallStrikes (Rate strike)
 
DigitalCmsSpreadLegwithCallStrikes (const std::vector< Rate > &strikes)
 
DigitalCmsSpreadLegwithLongCallOption (Position::Type)
 
DigitalCmsSpreadLegwithCallATM (bool flag=true)
 
DigitalCmsSpreadLegwithCallPayoffs (Rate payoff)
 
DigitalCmsSpreadLegwithCallPayoffs (const std::vector< Rate > &payoffs)
 
DigitalCmsSpreadLegwithPutStrikes (Rate strike)
 
DigitalCmsSpreadLegwithPutStrikes (const std::vector< Rate > &strikes)
 
DigitalCmsSpreadLegwithLongPutOption (Position::Type)
 
DigitalCmsSpreadLegwithPutATM (bool flag=true)
 
DigitalCmsSpreadLegwithPutPayoffs (Rate payoff)
 
DigitalCmsSpreadLegwithPutPayoffs (const std::vector< Rate > &payoffs)
 
DigitalCmsSpreadLegwithReplication (const boost::shared_ptr< DigitalReplication > &replication=boost::shared_ptr< DigitalReplication >(new DigitalReplication))
 
 operator Leg () const
 

Detailed Description

helper class building a sequence of digital ibor-rate coupons