| /dports/finance/quantlib/QuantLib-1.20/ql/instruments/ |
| H A D | capfloor.hpp | 61 const Leg& floatingLeg,
65 const Leg& floatingLeg,
81 const Leg& floatingLeg() const { return floatingLeg_; } in floatingLeg() function in QuantLib::CapFloor
112 Cap(const Leg& floatingLeg, in Cap() argument
114 : CapFloor(CapFloor::Cap, floatingLeg, in Cap()
122 Floor(const Leg& floatingLeg, in Floor() argument
124 : CapFloor(CapFloor::Floor, floatingLeg, in Floor()
132 Collar(const Leg& floatingLeg, in Collar() argument
135 : CapFloor(CapFloor::Collar, floatingLeg, capRates, floorRates) {} in Collar()
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| H A D | cpiswap.cpp | 75 Leg floatingLeg; in CPISwap() local
77 floatingLeg = IborLeg(floatSchedule_, floatIndex_) in CPISwap()
95 payNotional = floatingLeg.back()->date(); in CPISwap()
100 floatingLeg.push_back(nf); in CPISwap()
119 for (i = floatingLeg.begin(); i < floatingLeg.end(); ++i) { in CPISwap()
124 legs_[1] = floatingLeg; in CPISwap()
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| H A D | capfloor.cpp | 125 const Leg& floatingLeg, in CapFloor() argument
128 : type_(type), floatingLeg_(floatingLeg), in CapFloor()
150 const Leg& floatingLeg, in CapFloor() argument
152 : type_(type), floatingLeg_(floatingLeg) { in CapFloor()
198 QL_REQUIRE(i < floatingLeg().size(), in optionlet()
200 floatingLeg().size()); in optionlet()
201 Leg cf(1, floatingLeg()[i]); in optionlet()
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| H A D | vanillaswap.hpp | 100 const Leg& floatingLeg() const;
213 inline const Leg& VanillaSwap::floatingLeg() const { in floatingLeg() function in QuantLib::VanillaSwap
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| H A D | nonstandardswap.cpp | 38 floatingNominal_(std::vector<Real>(fromVanilla.floatingLeg().size(), in NonstandardSwap()
46 spread_(std::vector<Real>(fromVanilla.floatingLeg().size(), fromVanilla.spread())), in NonstandardSwap()
47 gearing_(std::vector<Real>(fromVanilla.floatingLeg().size(), 1.0)), in NonstandardSwap()
271 const Leg &floatingCoupons = floatingLeg(); in setupArguments()
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| H A D | nonstandardswap.hpp | 95 const Leg &floatingLeg() const;
226 inline const Leg &NonstandardSwap::floatingLeg() const { return legs_[1]; } in floatingLeg() function in QuantLib::NonstandardSwap
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| H A D | assetswap.hpp | 89 const Leg& floatingLeg() const { return legs_[1]; } in floatingLeg() function in QuantLib::AssetSwap
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| H A D | makecapfloor.cpp | 49 Leg leg = swap.floatingLeg(); in operator ext::shared_ptr<CapFloor>()
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| H A D | vanillaswap.cpp | 110 const Leg& floatingCoupons = floatingLeg(); in setupArguments()
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| H A D | assetswap.cpp | 298 const Leg& floatingCoupons = floatingLeg(); in setupArguments()
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| /dports/finance/quantlib/QuantLib-1.20/ql/models/shortrate/calibrationhelpers/ |
| H A D | caphelper.cpp | 122 Leg floatingLeg = IborLeg(floatSchedule, index_) in performCalculations() local
136 Swap swap(floatingLeg, fixedLeg); in performCalculations()
140 cap_ = ext::make_shared<Cap>(floatingLeg, in performCalculations()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/swaptions/ |
| H A D | irregularswap.hpp | 57 const Leg& floatingLeg() const;
128 inline const Leg& IrregularSwap::floatingLeg() const { in floatingLeg() function in QuantLib::IrregularSwap
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| H A D | haganirregularswaptionengine.cpp | 56 const Leg& floatLeg = swap_->floatingLeg(); in Basket()
193 …:shared_ptr<IborCoupon> iborCpn = ext::dynamic_pointer_cast<IborCoupon>(swap_->floatingLeg()[0]); in component()
254 Leg floatLeg = swap_->floatingLeg(); in calculate()
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| H A D | irregularswap.cpp | 102 const Leg& floatingCoupons = floatingLeg(); in setupArguments()
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | curvestates.cpp | 97 Real floatingLeg = 0.0; in CommonVars() local
105 floatingLeg = todaysDiscounts[N-i]-todaysDiscounts[N]; in CommonVars()
107 floatingLeg/coterminalAnnuity[N-i]; in CommonVars()
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| H A D | swap.cpp | 286 Leg floatingLeg = IborLeg(schedule, index) in testInArrears() local
293 setCouponPricer(floatingLeg, pricer); in testInArrears()
295 Swap swap(floatingLeg,fixedLeg); in testInArrears()
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| H A D | capfloor.cpp | 787 Leg capLeg = cap->floatingLeg(); in testOptionLetsDelta()
788 Leg floorLeg = floor->floatingLeg(); in testOptionLetsDelta()
913 Leg capLeg = cap->floatingLeg(); in testBachelierOptionLetsDelta()
914 Leg floorLeg = floor->floatingLeg(); in testBachelierOptionLetsDelta()
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| H A D | marketmodel.cpp | 205 Real floatingLeg = 0.0; in setup() local
213 floatingLeg = todaysDiscounts[N-i]-todaysDiscounts[N]; in setup()
214 todaysCoterminalSwapRates[N-i] = floatingLeg/coterminalAnnuity[N-i]; in setup()
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| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/swaption/ |
| H A D | basketgeneratingengine.hpp | 132 for (Size i = 0; i < swap->floatingLeg().size(); i++) { in NPV()
135 swap->floatingLeg()[i]); in NPV()
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| /dports/finance/quantlib/QuantLib-1.20/ql/experimental/basismodels/ |
| H A D | swaptioncfs.cpp | 97 : IborLegCashFlows(swap->floatingLeg(), discountCurve, contTenorSpread) { in SwapCashFlows()
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/volatility/optionlet/ |
| H A D | optionletstripper2.cpp | 103 if (i<=caps_[j]->floatingLeg().size()) { in performCalculations()
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| /dports/finance/quantlib/QuantLib-1.20/ql/termstructures/yield/ |
| H A D | ratehelpers.cpp | 847 ext::dynamic_pointer_cast<IborCoupon>(swap_->floatingLeg().back()); in initializeDates()
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