QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
DigitalIborLeg Class Reference

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

#include <ql/cashflows/digitaliborcoupon.hpp>

Public Member Functions

 DigitalIborLeg (const Schedule &schedule, const boost::shared_ptr< IborIndex > &index)
 
DigitalIborLegwithNotionals (Real notional)
 
DigitalIborLegwithNotionals (const std::vector< Real > &notionals)
 
DigitalIborLegwithPaymentDayCounter (const DayCounter &)
 
DigitalIborLegwithPaymentAdjustment (BusinessDayConvention)
 
DigitalIborLegwithFixingDays (Natural fixingDays)
 
DigitalIborLegwithFixingDays (const std::vector< Natural > &fixingDays)
 
DigitalIborLegwithGearings (Real gearing)
 
DigitalIborLegwithGearings (const std::vector< Real > &gearings)
 
DigitalIborLegwithSpreads (Spread spread)
 
DigitalIborLegwithSpreads (const std::vector< Spread > &spreads)
 
DigitalIborLeginArrears (bool flag=true)
 
DigitalIborLegwithCallStrikes (Rate strike)
 
DigitalIborLegwithCallStrikes (const std::vector< Rate > &strikes)
 
DigitalIborLegwithLongCallOption (Position::Type)
 
DigitalIborLegwithCallATM (bool flag=true)
 
DigitalIborLegwithCallPayoffs (Rate payoff)
 
DigitalIborLegwithCallPayoffs (const std::vector< Rate > &payoffs)
 
DigitalIborLegwithPutStrikes (Rate strike)
 
DigitalIborLegwithPutStrikes (const std::vector< Rate > &strikes)
 
DigitalIborLegwithLongPutOption (Position::Type)
 
DigitalIborLegwithPutATM (bool flag=true)
 
DigitalIborLegwithPutPayoffs (Rate payoff)
 
DigitalIborLegwithPutPayoffs (const std::vector< Rate > &payoffs)
 
DigitalIborLegwithReplication (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