Class DigitalCmsLeg

Hierarchy

DigitalCmsLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Constructors

constructor

new DigitalCmsLeg(schedule: Schedule, index: SwapIndex): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:50
Parameters
- schedule: Schedule
- index: SwapIndex
Returns DigitalCmsLeg

Properties

Private _callATM

_callATM: boolean

Private _callPayoffs

_callPayoffs: Rate[]

Private _callStrikes

_callStrikes: Rate[]

Private _fixingDays

_fixingDays: Natural[]

Private _gearings

_gearings: Real[]

Private _inArrears

_inArrears: boolean

Private _index

_index: SwapIndex

Private _longCallOption

_longCallOption: Type

Private _longPutOption

_longPutOption: Type

Private _notionals

_notionals: Real[]

Private _paymentAdjustment

_paymentAdjustment: BusinessDayConvention

Private _paymentDayCounter

_paymentDayCounter: DayCounter

Private _putATM

_putATM: boolean

Private _putPayoffs

_putPayoffs: Rate[]

Private _putStrikes

_putStrikes: Rate[]

Private _replication

_replication: DigitalReplication

Private _schedule

_schedule: Schedule

Private _spreads

_spreads: Spread[]

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/cashflows/digitalcmscoupon.ts:182
Returns Leg

inArrears

inArrears(flag?: boolean): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:112
Parameters
- Default value flag: boolean = true
Returns DigitalCmsLeg

withCallATM

withCallATM(flag?: boolean): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:132
Parameters
- Default value flag: boolean = true
Returns DigitalCmsLeg

withCallPayoffs1

withCallPayoffs1(payoff: Rate): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:137
Parameters
- payoff: Rate
Returns DigitalCmsLeg

withCallPayoffs2

withCallPayoffs2(payoffs: Rate[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:142
Parameters
- payoffs: Rate[]
Returns DigitalCmsLeg

withCallStrikes1

withCallStrikes1(strike: Rate): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:117
Parameters
- strike: Rate
Returns DigitalCmsLeg

withCallStrikes2

withCallStrikes2(strikes: Rate[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:122
Parameters
- strikes: Rate[]
Returns DigitalCmsLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:82
Parameters
- fixingDays: Natural
Returns DigitalCmsLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:87
Parameters
- fixingDays: Natural[]
Returns DigitalCmsLeg

withGearings1

withGearings1(gearing: Real): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:92
Parameters
- gearing: Real
Returns DigitalCmsLeg

withGearings2

withGearings2(gearings: Real[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:97
Parameters
- gearings: Real[]
Returns DigitalCmsLeg

withLongCallOption

withLongCallOption(type: Type): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:127
Parameters
- type: Type
Returns DigitalCmsLeg

withLongPutOption

withLongPutOption(type: Type): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:157
Parameters
- type: Type
Returns DigitalCmsLeg

withNotionals1

withNotionals1(notional: Real): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:62
Parameters
- notional: Real
Returns DigitalCmsLeg

withNotionals2

withNotionals2(notionals: Real[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:67
Parameters
- notionals: Real[]
Returns DigitalCmsLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:77
Parameters
- convention: BusinessDayConvention
Returns DigitalCmsLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:72
Parameters
- dayCounter: DayCounter
Returns DigitalCmsLeg

withPutATM

withPutATM(flag?: boolean): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:162
Parameters
- Default value flag: boolean = true
Returns DigitalCmsLeg

withPutPayoffs1

withPutPayoffs1(payoff: Rate): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:167
Parameters
- payoff: Rate
Returns DigitalCmsLeg

withPutPayoffs2

withPutPayoffs2(payoffs: Rate[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:172
Parameters
- payoffs: Rate[]
Returns DigitalCmsLeg

withPutStrikes1

withPutStrikes1(strike: Rate): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:147
Parameters
- strike: Rate
Returns DigitalCmsLeg

withPutStrikes2

withPutStrikes2(strikes: Rate[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:152
Parameters
- strikes: Rate[]
Returns DigitalCmsLeg

withReplication

withReplication(replication?: DigitalReplication): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:177
Parameters
- Default value replication: DigitalReplication = null
Returns DigitalCmsLeg

withSpreads1

withSpreads1(spread: Spread): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:102
Parameters
- spread: Spread
Returns DigitalCmsLeg

withSpreads2

withSpreads2(spreads: Spread[]): DigitalCmsLeg

- Defined in ql/cashflows/digitalcmscoupon.ts:107
Parameters
- spreads: Spread[]
Returns DigitalCmsLeg