Arguments for cms swaption calculation More...
#include <ql/instruments/floatfloatswaption.hpp>
Public Member Functions | |
void | validate () const |
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void | validate () const |
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void | validate () const |
Public Attributes | |
boost::shared_ptr< FloatFloatSwap > | swap |
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VanillaSwap::Type | type |
std::vector< Real > | nominal1 |
std::vector< Real > | nominal2 |
std::vector< Date > | leg1ResetDates |
std::vector< Date > | leg1FixingDates |
std::vector< Date > | leg1PayDates |
std::vector< Date > | leg2ResetDates |
std::vector< Date > | leg2FixingDates |
std::vector< Date > | leg2PayDates |
std::vector< Real > | leg1Spreads |
std::vector< Real > | leg2Spreads |
std::vector< Real > | leg1Gearings |
std::vector< Real > | leg2Gearings |
std::vector< Real > | leg1CappedRates |
std::vector< Real > | leg1FlooredRates |
std::vector< Real > | leg2CappedRates |
std::vector< Real > | leg2FlooredRates |
std::vector< Real > | leg1Coupons |
std::vector< Real > | leg2Coupons |
std::vector< Real > | leg1AccrualTimes |
std::vector< Real > | leg2AccrualTimes |
boost::shared_ptr< InterestRateIndex > | index1 |
boost::shared_ptr< InterestRateIndex > | index2 |
std::vector< bool > | leg1IsRedemptionFlow |
std::vector< bool > | leg2IsRedemptionFlow |
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boost::shared_ptr< Payoff > | payoff |
boost::shared_ptr< Exercise > | exercise |
Arguments for cms swaption calculation