SwapLeg Class Reference

#include <SwapLeg.h>

List of all members.

Public Member Functions
	SwapLeg (Date startDate, Real Frequency, Date endDate, Real Notional, Real AmortizingConstant, BusinessDayConvention convention)
	Constructor that takes a notional and the constant value of which the notional should be decreasing every time.
	SwapLeg (valarray< Date > dates, valarray< Real > Notionals)
	For more general swaps : takes a valarray of notionals for every period and a valarray of dates.
LongInteger	returnSize ()
	Return size of valarray.
valarray< Date >	returnDates ()
	Return dates valarray.
valarray< Real >	returnAmounts ()
	Return dates valarray.
	~SwapLeg (void)
Private Attributes
valarray< Date >	_dateSchedule
valarray< Real >	_flowSchedule

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Constructor & Destructor Documentation

SwapLeg::SwapLeg (  Date  startDate, Real  Frequency, Date  endDate, Real  Notional, Real  AmortizingConstant, BusinessDayConvention  convention )

Constructor that takes a notional and the constant value of which the notional should be decreasing every time. If endDate!=startDate + multiple of frequency then endDate is reduced until it satisfies the condition Definition at line 3 of file SwapLeg.cpp. References _dateSchedule, _flowSchedule, Date::applyConvention(), Frequency, Integer, LongInteger, Natural, Real, and Date::serialNumber().

SwapLeg::SwapLeg (  valarray< Date >  dates, valarray< Real >  Notionals )

For more general swaps : takes a valarray of notionals for every period and a valarray of dates. Definition at line 27 of file SwapLeg.cpp. References _dateSchedule, and _flowSchedule.

SwapLeg::~SwapLeg (  void   )

Definition at line 50 of file SwapLeg.cpp.

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Member Function Documentation

valarray< Real > SwapLeg::returnAmounts (   )

Return dates valarray. Definition at line 45 of file SwapLeg.cpp. References _flowSchedule. Referenced by CashFlow::CashFlow().

valarray< Date > SwapLeg::returnDates (   )

Return dates valarray. Definition at line 40 of file SwapLeg.cpp. References _dateSchedule. Referenced by CashFlow::CashFlow().

LongInteger SwapLeg::returnSize (   )

Return size of valarray. Definition at line 35 of file SwapLeg.cpp. References _dateSchedule, and LongInteger.

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Member Data Documentation

valarray<Date> SwapLeg::_dateSchedule [private]

Definition at line 36 of file SwapLeg.h. Referenced by returnDates(), returnSize(), and SwapLeg().

valarray<Real> SwapLeg::_flowSchedule [private]

Definition at line 37 of file SwapLeg.h. Referenced by returnAmounts(), and SwapLeg().

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The documentation for this class was generated from the following files:

• SwapLeg.h
• SwapLeg.cpp

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