Class CmsSpreadLeg

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

Hierarchy

CmsSpreadLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new CmsSpreadLeg(schedule: Schedule, swapSpreadIndex: SwapSpreadIndex): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:93
Parameters
- schedule: Schedule
- swapSpreadIndex: SwapSpreadIndex
Returns CmsSpreadLeg

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 _swapSpreadIndex

_swapSpreadIndex: SwapSpreadIndex

Private _zeroPayments

_zeroPayments: boolean

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:182
Returns Leg

inArrears

inArrears(flag?: boolean): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:172
Parameters
- Default value flag: boolean = true
Returns CmsSpreadLeg

withCaps1

withCaps1(cap: Rate): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:152
Parameters
- cap: Rate
Returns CmsSpreadLeg

withCaps2

withCaps2(caps: Rate[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:157
Parameters
- caps: Rate[]
Returns CmsSpreadLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:122
Parameters
- fixingDays: Natural
Returns CmsSpreadLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:127
Parameters
- fixingDays: Natural[]
Returns CmsSpreadLeg

withFloors1

withFloors1(floor: Rate): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:162
Parameters
- floor: Rate
Returns CmsSpreadLeg

withFloors2

withFloors2(floors: Rate[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:167
Parameters
- floors: Rate[]
Returns CmsSpreadLeg

withGearings1

withGearings1(gearing: Real): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:132
Parameters
- gearing: Real
Returns CmsSpreadLeg

withGearings2

withGearings2(gearings: Real[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:137
Parameters
- gearings: Real[]
Returns CmsSpreadLeg

withNotionals1

withNotionals1(notional: Real): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:102
Parameters
- notional: Real
Returns CmsSpreadLeg

withNotionals2

withNotionals2(notionals: Real[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:107
Parameters
- notionals: Real[]
Returns CmsSpreadLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:117
Parameters
- convention: BusinessDayConvention
Returns CmsSpreadLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:112
Parameters
- dayCounter: DayCounter
Returns CmsSpreadLeg

withSpreads1

withSpreads1(spread: Spread): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:142
Parameters
- spread: Spread
Returns CmsSpreadLeg

withSpreads2

withSpreads2(spreads: Spread[]): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:147
Parameters
- spreads: Spread[]
Returns CmsSpreadLeg

withZeroPayments

withZeroPayments(flag?: boolean): CmsSpreadLeg

- Defined in ql/experimental/coupons/cmsspreadcoupon.ts:177
Parameters
- Default value flag: boolean = true
Returns CmsSpreadLeg