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Hierarchy

  • DigitalIborLeg

Implements

Index

Constructors

constructor

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

  • Returns Leg

inArrears

  • Parameters

    • Default value flag: boolean = true

    Returns DigitalIborLeg

withCallATM

  • Parameters

    • Default value flag: boolean = true

    Returns DigitalIborLeg

withCallPayoffs1

  • Parameters

    Returns DigitalIborLeg

withCallPayoffs2

  • Parameters

    Returns DigitalIborLeg

withCallStrikes1

  • Parameters

    Returns DigitalIborLeg

withCallStrikes2

  • Parameters

    Returns DigitalIborLeg

withFixingDays1

withFixingDays2

  • Parameters

    Returns DigitalIborLeg

withGearings1

  • Parameters

    Returns DigitalIborLeg

withGearings2

  • Parameters

    Returns DigitalIborLeg

withLongCallOption

  • Parameters

    Returns DigitalIborLeg

withLongPutOption

  • Parameters

    Returns DigitalIborLeg

withNotionals1

  • Parameters

    Returns DigitalIborLeg

withNotionals2

  • Parameters

    Returns DigitalIborLeg

withPaymentAdjustment

withPaymentDayCounter

withPutATM

  • Parameters

    • Default value flag: boolean = true

    Returns DigitalIborLeg

withPutPayoffs1

  • Parameters

    Returns DigitalIborLeg

withPutPayoffs2

  • Parameters

    Returns DigitalIborLeg

withPutStrikes1

  • Parameters

    Returns DigitalIborLeg

withPutStrikes2

  • Parameters

    Returns DigitalIborLeg

withReplication

withSpreads1

withSpreads2

  • Parameters

    Returns DigitalIborLeg