ql/CashFlows/cmscoupon.hpp File Reference
Detailed Description
CMS coupon.
#include <ql/CashFlows/floatingratecoupon.hpp>
#include <ql/Indexes/swapindex.hpp>
#include <ql/swaptionvolstructure.hpp>
Include dependency graph for cmscoupon.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | VanillaCMSCouponPricer |
pricer for vanilla CMS coupons More... | |
class | CMSCoupon |
CMS coupon class. More... | |
Functions | |
std::vector< boost::shared_ptr< CashFlow > > | CMSCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRate, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol=Handle< SwaptionVolatilityStructure >()) |
std::vector< boost::shared_ptr< CashFlow > > | CMSZeroCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRate, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol=Handle< SwaptionVolatilityStructure >()) |
std::vector< boost::shared_ptr< CashFlow > > | CMSInArrearsCouponVector (const Schedule &schedule, BusinessDayConvention paymentAdjustment, const std::vector< Real > &nominals, const boost::shared_ptr< SwapIndex > &index, Integer fixingDays, const DayCounter &dayCounter, const std::vector< Real > &baseRate, const std::vector< Real > &fractions, const std::vector< Real > &caps, const std::vector< Real > &floors, const std::vector< Real > &meanReversions, const boost::shared_ptr< VanillaCMSCouponPricer > &pricer, const Handle< SwaptionVolatilityStructure > &vol=Handle< SwaptionVolatilityStructure >()) |