public override List <CashFlow> value()
{
return(CashFlowVectors.FloatingLeg <SwapSpreadIndex, CmsSpreadCoupon, CappedFlooredCmsSpreadCoupon>(
notionals_, schedule_, swapSpreadIndex_, paymentDayCounter_,
paymentAdjustment_, fixingDays_, gearings_, spreads_, caps_,
floors_, inArrears_, zeroPayments_));
}
public override List <CashFlow> value()
{
List <CashFlow> cashflows = CashFlowVectors.FloatingLeg <IborIndex, IborCoupon, CappedFlooredIborCoupon>(
notionals_, schedule_, index_ as IborIndex, paymentDayCounter_,
paymentAdjustment_, fixingDays_, gearings_, spreads_,
caps_, floors_, inArrears_, zeroPayments_);
if (caps_.Count == 0 && floors_.Count == 0 && !inArrears_)
{
Utils.setCouponPricer(cashflows, new BlackIborCouponPricer());
}
return(cashflows);
}
public override List <CashFlow> value()
{
return(CashFlowVectors.yoyInflationLeg(notionals_,
schedule_,
paymentAdjustment_,
index_,
gearings_,
spreads_,
paymentDayCounter_,
caps_,
floors_,
paymentCalendar_,
fixingDays_,
observationLag_));
}
public List <CashFlow> value()
{
return(CashFlowVectors.FloatingDigitalLeg <SwapIndex, CmsCoupon, DigitalCmsCoupon>(notionals_, schedule_, index_, paymentDayCounter_, paymentAdjustment_, fixingDays_, gearings_, spreads_, inArrears_, callStrikes_, longCallOption_, callATM_, callPayoffs_, putStrikes_, longPutOption_, putATM_, putPayoffs_, replication_));
}
public override List <CashFlow> value()
{
return(CashFlowVectors.OvernightLeg(notionals_, schedule_, paymentAdjustment_, overnightIndex_, gearings_, spreads_, paymentDayCounter_));
}
