Class IborLeg

helper class building a sequence of capped/floored ibor-rate coupons

Hierarchy

IborLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

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

- Defined in ql/cashflows/iborcoupon.ts:138
Parameters
- schedule: Schedule
- index: IborIndex
Returns IborLeg

Properties

Private _caps

_caps: Rate[] = []

Private _fixingDays

_fixingDays: Natural[] = []

Private _floors

_floors: Rate[] = []

Private _gearings

_gearings: Real[] = []

Private _inArrears

_inArrears: boolean

Private _index

_index: IborIndex

Private _notionals

_notionals: Real[]

Private _paymentAdjustment

_paymentAdjustment: BusinessDayConvention

Private _paymentCalendar

_paymentCalendar: Calendar

Private _paymentDayCounter

_paymentDayCounter: DayCounter

Private _paymentLag

_paymentLag: Natural

Private _schedule

_schedule: Schedule

Private _spreads

_spreads: Spread[] = []

Private _zeroPayments

_zeroPayments: boolean

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/cashflows/iborcoupon.ts:239
Returns Leg

inArrears

inArrears(flag?: boolean): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:229
Parameters
- Default value flag: boolean = true
Returns IborLeg

withCaps1

withCaps1(cap: Rate): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:209
Parameters
- cap: Rate
Returns IborLeg

withCaps2

withCaps2(caps: Rate[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:214
Parameters
- caps: Rate[]
Returns IborLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:179
Parameters
- fixingDays: Natural
Returns IborLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:184
Parameters
- fixingDays: Natural[]
Returns IborLeg

withFloors1

withFloors1(floor: Rate): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:219
Parameters
- floor: Rate
Returns IborLeg

withFloors2

withFloors2(floors: Rate[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:224
Parameters
- floors: Rate[]
Returns IborLeg

withGearings1

withGearings1(gearing: Real): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:189
Parameters
- gearing: Real
Returns IborLeg

withGearings2

withGearings2(gearings: Real[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:194
Parameters
- gearings: Real[]
Returns IborLeg

withNotionals1

withNotionals1(notional: Real): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:149
Parameters
- notional: Real
Returns IborLeg

withNotionals2

withNotionals2(notionals: Real[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:154
Parameters
- notionals: Real[]
Returns IborLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:164
Parameters
- convention: BusinessDayConvention
Returns IborLeg

withPaymentCalendar

withPaymentCalendar(cal: Calendar): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:174
Parameters
- cal: Calendar
Returns IborLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:159
Parameters
- dayCounter: DayCounter
Returns IborLeg

withPaymentLag

withPaymentLag(lag: Natural): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:169
Parameters
- lag: Natural
Returns IborLeg

withSpreads1

withSpreads1(spread: Spread): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:199
Parameters
- spread: Spread
Returns IborLeg

withSpreads2

withSpreads2(spreads: Spread[]): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:204
Parameters
- spreads: Spread[]
Returns IborLeg

withZeroPayments

withZeroPayments(flag?: boolean): IborLeg

- Defined in ql/cashflows/iborcoupon.ts:234
Parameters
- Default value flag: boolean = true
Returns IborLeg