Class DigitalIborLeg

Hierarchy

DigitalIborLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Constructors

constructor

new DigitalIborLeg(schedule: Schedule, index: IborIndex): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:49
Parameters
- schedule: Schedule
- index: IborIndex
Returns DigitalIborLeg

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: IborIndex

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/digitaliborcoupon.ts:181
Returns Leg

inArrears

inArrears(flag?: boolean): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:111
Parameters
- Default value flag: boolean = true
Returns DigitalIborLeg

withCallATM

withCallATM(flag?: boolean): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:131
Parameters
- Default value flag: boolean = true
Returns DigitalIborLeg

withCallPayoffs1

withCallPayoffs1(payoff: Rate): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:136
Parameters
- payoff: Rate
Returns DigitalIborLeg

withCallPayoffs2

withCallPayoffs2(payoffs: Rate[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:141
Parameters
- payoffs: Rate[]
Returns DigitalIborLeg

withCallStrikes1

withCallStrikes1(strike: Rate): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:116
Parameters
- strike: Rate
Returns DigitalIborLeg

withCallStrikes2

withCallStrikes2(strikes: Rate[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:121
Parameters
- strikes: Rate[]
Returns DigitalIborLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:81
Parameters
- fixingDays: Natural
Returns DigitalIborLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:86
Parameters
- fixingDays: Natural[]
Returns DigitalIborLeg

withGearings1

withGearings1(gearing: Real): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:91
Parameters
- gearing: Real
Returns DigitalIborLeg

withGearings2

withGearings2(gearings: Real[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:96
Parameters
- gearings: Real[]
Returns DigitalIborLeg

withLongCallOption

withLongCallOption(type: Type): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:126
Parameters
- type: Type
Returns DigitalIborLeg

withLongPutOption

withLongPutOption(type: Type): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:156
Parameters
- type: Type
Returns DigitalIborLeg

withNotionals1

withNotionals1(notional: Real): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:61
Parameters
- notional: Real
Returns DigitalIborLeg

withNotionals2

withNotionals2(notionals: Real[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:66
Parameters
- notionals: Real[]
Returns DigitalIborLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:76
Parameters
- convention: BusinessDayConvention
Returns DigitalIborLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:71
Parameters
- dayCounter: DayCounter
Returns DigitalIborLeg

withPutATM

withPutATM(flag?: boolean): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:161
Parameters
- Default value flag: boolean = true
Returns DigitalIborLeg

withPutPayoffs1

withPutPayoffs1(payoff: Rate): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:166
Parameters
- payoff: Rate
Returns DigitalIborLeg

withPutPayoffs2

withPutPayoffs2(payoffs: Rate[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:171
Parameters
- payoffs: Rate[]
Returns DigitalIborLeg

withPutStrikes1

withPutStrikes1(strike: Rate): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:146
Parameters
- strike: Rate
Returns DigitalIborLeg

withPutStrikes2

withPutStrikes2(strikes: Rate[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:151
Parameters
- strikes: Rate[]
Returns DigitalIborLeg

withReplication

withReplication(replication?: DigitalReplication): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:176
Parameters
- Default value replication: DigitalReplication = null
Returns DigitalIborLeg

withSpreads1

withSpreads1(spread: Spread): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:101
Parameters
- spread: Spread
Returns DigitalIborLeg

withSpreads2

withSpreads2(spreads: Spread[]): DigitalIborLeg

- Defined in ql/cashflows/digitaliborcoupon.ts:106
Parameters
- spreads: Spread[]
Returns DigitalIborLeg