Class DigitalCmsSpreadLeg

helper class building a sequence of digital ibor-rate coupons

Hierarchy

DigitalCmsSpreadLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

Properties

Constructors

constructor

new DigitalCmsSpreadLeg(schedule: Schedule, index: SwapSpreadIndex): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:51
Parameters
- schedule: Schedule
- index: SwapSpreadIndex
Returns DigitalCmsSpreadLeg

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: SwapSpreadIndex

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/experimental/coupons/digitalcmsspreadcoupon.ts:180
Returns Leg

inArrears

inArrears(flag?: boolean): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:114
Parameters
- Default value flag: boolean = true
Returns DigitalCmsSpreadLeg

withCallATM

withCallATM(flag?: boolean): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:129
Parameters
- Default value flag: boolean = true
Returns DigitalCmsSpreadLeg

withCallPayoffs1

withCallPayoffs1(payoff: Rate): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:134
Parameters
- payoff: Rate
Returns DigitalCmsSpreadLeg

withCallPayoffs2

withCallPayoffs2(payoffs: Rate[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:139
Parameters
- payoffs: Rate[]
Returns DigitalCmsSpreadLeg

withCallStrikes1

withCallStrikes1(strike: Rate): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:119
Parameters
- strike: Rate
Returns DigitalCmsSpreadLeg

withCallStrikes2

withCallStrikes2(strikes: Rate[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:124
Parameters
- strikes: Rate[]
Returns DigitalCmsSpreadLeg

withFixingDays1

withFixingDays1(fixingDays: Natural): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:84
Parameters
- fixingDays: Natural
Returns DigitalCmsSpreadLeg

withFixingDays2

withFixingDays2(fixingDays: Natural[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:89
Parameters
- fixingDays: Natural[]
Returns DigitalCmsSpreadLeg

withGearings1

withGearings1(gearing: Real): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:94
Parameters
- gearing: Real
Returns DigitalCmsSpreadLeg

withGearings2

withGearings2(gearings: Real[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:99
Parameters
- gearings: Real[]
Returns DigitalCmsSpreadLeg

withLongPutOption

withLongPutOption(type: Type): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:154
Parameters
- type: Type
Returns DigitalCmsSpreadLeg

withNotionals1

withNotionals1(notional: Real): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:63
Parameters
- notional: Real
Returns DigitalCmsSpreadLeg

withNotionals2

withNotionals2(notionals: Real[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:68
Parameters
- notionals: Real[]
Returns DigitalCmsSpreadLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:78
Parameters
- convention: BusinessDayConvention
Returns DigitalCmsSpreadLeg

withPaymentDayCounter

withPaymentDayCounter(dayCounter: DayCounter): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:73
Parameters
- dayCounter: DayCounter
Returns DigitalCmsSpreadLeg

withPutATM

withPutATM(flag?: boolean): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:159
Parameters
- Default value flag: boolean = true
Returns DigitalCmsSpreadLeg

withPutPayoffs1

withPutPayoffs1(payoff: Rate): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:164
Parameters
- payoff: Rate
Returns DigitalCmsSpreadLeg

withPutPayoffs2

withPutPayoffs2(payoffs: Rate[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:169
Parameters
- payoffs: Rate[]
Returns DigitalCmsSpreadLeg

withPutStrikes1

withPutStrikes1(strike: Rate): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:144
Parameters
- strike: Rate
Returns DigitalCmsSpreadLeg

withPutStrikes2

withPutStrikes2(strikes: Rate[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:149
Parameters
- strikes: Rate[]
Returns DigitalCmsSpreadLeg

withReplication

withReplication(replication?: DigitalReplication): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:174
Parameters
- Default value replication: DigitalReplication = new DigitalReplication()
Returns DigitalCmsSpreadLeg

withSpreads1

withSpreads1(spread: Spread): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:104
Parameters
- spread: Spread
Returns DigitalCmsSpreadLeg

withSpreads2

withSpreads2(spreads: Spread[]): DigitalCmsSpreadLeg

- Defined in ql/experimental/coupons/digitalcmsspreadcoupon.ts:109
Parameters
- spreads: Spread[]
Returns DigitalCmsSpreadLeg