Class CmsLeg

Hierarchy

CmsLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CmsLeg(schedule: Schedule, swapIndex: SwapIndex): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:56
Parameters
- schedule: Schedule
- swapIndex: SwapIndex
Returns CmsLeg

Properties

Private _caps

_caps: Rate[]

Private _fixingDays

_fixingDays: Natural[]

Private _floors

_floors: Rate[]

Private _gearings

_gearings: Real[]

Private _inArrears

_inArrears: boolean

Private _notionals

_notionals: Real[]

Private _paymentAdjustment

_paymentAdjustment: BusinessDayConvention

Private _paymentDayCounter

_paymentDayCounter: DayCounter

Private _schedule

_schedule: Schedule

Private _spreads

_spreads: Spread[]

Private _swapIndex

_swapIndex: SwapIndex

Private _zeroPayments

_zeroPayments: boolean

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/cashflows/cmscoupon.ts:145
Returns Leg

inArrears

inArrears(flag?: boolean): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:135
Parameters
- Default value flag: boolean = true
Returns CmsLeg

withCaps1

withCaps1(cap: Rate): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:115
Parameters
- cap: Rate
Returns CmsLeg

withCaps2

withCaps2(caps: Rate[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:120
Parameters
- caps: Rate[]
Returns CmsLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:85
Parameters
- fixingDays: Natural
Returns CmsLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:90
Parameters
- fixingDays: Natural[]
Returns CmsLeg

withFloors1

withFloors1(floor: Rate): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:125
Parameters
- floor: Rate
Returns CmsLeg

withFloors2

withFloors2(floors: Rate[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:130
Parameters
- floors: Rate[]
Returns CmsLeg

withGearings1

withGearings1(gearing: Real): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:95
Parameters
- gearing: Real
Returns CmsLeg

withGearings2

withGearings2(gearings: Real[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:100
Parameters
- gearings: Real[]
Returns CmsLeg

withNotionals1

withNotionals1(notional: Real): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:65
Parameters
- notional: Real
Returns CmsLeg

withNotionals2

withNotionals2(notionals: Real[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:70
Parameters
- notionals: Real[]
Returns CmsLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:80
Parameters
- convention: BusinessDayConvention
Returns CmsLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:75
Parameters
- dayCounter: DayCounter
Returns CmsLeg

withSpreads1

withSpreads1(spread: Spread): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:105
Parameters
- spread: Spread
Returns CmsLeg

withSpreads2

withSpreads2(spreads: Spread[]): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:110
Parameters
- spreads: Spread[]
Returns CmsLeg

withZeroPayments

withZeroPayments(flag?: boolean): CmsLeg

- Defined in ql/cashflows/cmscoupon.ts:140
Parameters
- Default value flag: boolean = true
Returns CmsLeg