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 >())