コード例 #1
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        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);
        }
コード例 #2
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 public override List <CashFlow> value()
 {
     return(CashFlowVectors.yoyInflationLeg(notionals_,
                                            schedule_,
                                            paymentAdjustment_,
                                            index_,
                                            gearings_,
                                            spreads_,
                                            paymentDayCounter_,
                                            caps_,
                                            floors_,
                                            paymentCalendar_,
                                            fixingDays_,
                                            observationLag_));
 }
コード例 #3
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 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_));
 }
コード例 #4
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 public override List <CashFlow> value()
 {
     return(CashFlowVectors.OvernightLeg(notionals_, schedule_, paymentAdjustment_, overnightIndex_, gearings_, spreads_, paymentDayCounter_));
 }
コード例 #5
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 public override List <CashFlow> value()
 {
     return(CashFlowVectors.FloatingLeg <SwapSpreadIndex, CmsSpreadCoupon, CappedFlooredCmsSpreadCoupon>(
                notionals_, schedule_, index_ as SwapSpreadIndex, paymentDayCounter_, paymentAdjustment_, fixingDays_, gearings_, spreads_, caps_, floors_, inArrears_, zeroPayments_));
 }