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.FloatingLeg <SwapSpreadIndex, CmsSpreadCoupon, CappedFlooredCmsSpreadCoupon>( notionals_, schedule_, index_ as SwapSpreadIndex, paymentDayCounter_, paymentAdjustment_, fixingDays_, gearings_, spreads_, caps_, floors_, inArrears_, zeroPayments_)); }