External module "ql/cashflows/cashflowvectors"
Functions
FloatingDigitalLeg
- FloatingDigitalLeg(iriType: InterestRateIndexType, fcType: FloatingCouponType, dcType: DigitalCouponType, schedule: Schedule, nominals: Real[], index: InterestRateIndex, paymentDayCounter: DayCounter, paymentAdj: BusinessDayConvention, fixingDays: Natural[], gearings: Real[], spreads: Spread[], isInArrears: boolean, callStrikes: Rate[], callPosition: Type, isCallATMIncluded: boolean, callDigitalPayoffs: Rate[], putStrikes: Rate[], putPosition: Type, isPutATMIncluded: boolean, putDigitalPayoffs: Rate[], replication: DigitalReplication): Leg
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Parameters
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nominals: Real[]
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gearings: Real[]
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isInArrears: boolean
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callStrikes: Rate[]
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callPosition: Type
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isCallATMIncluded: boolean
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callDigitalPayoffs: Rate[]
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putStrikes: Rate[]
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putPosition: Type
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isPutATMIncluded: boolean
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putDigitalPayoffs: Rate[]
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Returns Leg
FloatingLeg
- FloatingLeg(iriType: InterestRateIndexType, fcType: FloatingCouponType, cfcType: CappedFlooredCouponType, schedule: Schedule, nominals: Real[], index: IborIndex | SwapIndex | SwapSpreadIndex, paymentDayCounter: DayCounter, paymentAdj: BusinessDayConvention, fixingDays: Natural[], gearings: Real[], spreads: Spread[], caps: Rate[], floors: Rate[], isInArrears: boolean, isZero: boolean, paymentLag?: Natural, paymentCalendar?: Calendar): Leg
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Parameters
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nominals: Real[]
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gearings: Real[]
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floors: Rate[]
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isInArrears: boolean
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isZero: boolean
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Default value paymentLag: Natural = 0
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Default value paymentCalendar: Calendar = new Calendar()
Returns Leg
effectiveFixedRate
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Parameters
noOption
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Parameters
Returns boolean