A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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This is the complete list of members for FloatingCatBond, including all inherited members.
| accruedAmount(Date d=Date()) const | Bond | virtual |
| additionalResults() const | Instrument | |
| additionalResults_ (defined in Instrument) | Instrument | mutableprotected |
| addRedemptionsToCashflows(const std::vector< Real > &redemptions=std::vector< Real >()) | Bond | protected |
| alwaysForward_ (defined in LazyObject) | LazyObject | protected |
| alwaysForwardNotifications() | LazyObject | |
| Bond(Natural settlementDays, const Calendar &calendar, const Date &issueDate=Date(), const Leg &coupons=Leg()) | Bond | |
| Bond(Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg()) | Bond | |
| calculate() const | Instrument | protectedvirtual |
| calculated_ (defined in LazyObject) | LazyObject | mutableprotected |
| calculateNotionalsFromCashflows() | Bond | protected |
| calendar() const (defined in Bond) | Bond | |
| calendar_ (defined in Bond) | Bond | protected |
| cashflows() const | Bond | |
| cashflows_ (defined in Bond) | Bond | protected |
| CatBond(Natural settlementDays, const Calendar &calendar, const Date &issueDate, const ext::shared_ptr< NotionalRisk > ¬ionalRisk) (defined in CatBond) | CatBond | |
| cleanPrice() const | Bond | |
| cleanPrice(Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const | Bond | |
| deepUpdate() | Bond | virtual |
| dirtyPrice() const | Bond | |
| dirtyPrice(Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const | Bond | |
| engine_ (defined in Instrument) | Instrument | protected |
| errorEstimate() const | Instrument | |
| errorEstimate_ (defined in Instrument) | Instrument | protected |
| exhaustionProbability() const (defined in CatBond) | CatBond | |
| exhaustionProbability_ (defined in CatBond) | CatBond | mutableprotected |
| expectedLoss() const (defined in CatBond) | CatBond | |
| expectedLoss_ (defined in CatBond) | CatBond | mutableprotected |
| fetchResults(const PricingEngine::results *) const (defined in CatBond) | CatBond | virtual |
| FloatingCatBond(Natural settlementDays, Real faceAmount, const Schedule &schedule, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > ¬ionalRisk, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date()) (defined in FloatingCatBond) | FloatingCatBond | |
| FloatingCatBond(Natural settlementDays, Real faceAmount, const Date &startDate, const Date &maturityDate, Frequency couponFrequency, const Calendar &calendar, const ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &accrualDayCounter, const ext::shared_ptr< NotionalRisk > ¬ionalRisk, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Natural fixingDays=Null< Natural >(), const std::vector< Real > &gearings=std::vector< Real >(1, 1.0), const std::vector< Spread > &spreads=std::vector< Spread >(1, 0.0), const std::vector< Rate > &caps=std::vector< Rate >(), const std::vector< Rate > &floors=std::vector< Rate >(), bool inArrears=false, Real redemption=100.0, const Date &issueDate=Date(), const Date &stubDate=Date(), DateGeneration::Rule rule=DateGeneration::Backward, bool endOfMonth=false) (defined in FloatingCatBond) | FloatingCatBond | |
| freeze() | LazyObject | |
| frozen_ (defined in LazyObject) | LazyObject | protected |
| Instrument() (defined in Instrument) | Instrument | |
| isExpired() const | Bond | virtual |
| issueDate() const (defined in Bond) | Bond | |
| issueDate_ (defined in Bond) | Bond | protected |
| isTradable(Date d=Date()) const (defined in Bond) | Bond | |
| iterator typedef (defined in Observer) | Observer | |
| LazyObject() (defined in LazyObject) | LazyObject | |
| lossProbability() const (defined in CatBond) | CatBond | |
| lossProbability_ (defined in CatBond) | CatBond | mutableprotected |
| maturityDate() const (defined in Bond) | Bond | |
| maturityDate_ (defined in Bond) | Bond | protected |
| nextCashFlowDate(Date d=Date()) const (defined in Bond) | Bond | |
| nextCouponRate(Date d=Date()) const | Bond | virtual |
| notifyObservers() | Observable | |
| notional(Date d=Date()) const (defined in Bond) | Bond | virtual |
| notionalRisk_ (defined in CatBond) | CatBond | protected |
| notionals() const (defined in Bond) | Bond | |
| notionals_ (defined in Bond) | Bond | protected |
| notionalSchedule_ (defined in Bond) | Bond | protected |
| NPV() const | Instrument | |
| NPV_ (defined in Instrument) | Instrument | mutableprotected |
| Observable() (defined in Observable) | Observable | |
| Observable(const Observable &) (defined in Observable) | Observable | |
| Observer() (defined in Observer) | Observer | |
| Observer(const Observer &) (defined in Observer) | Observer | |
| QuantLib::operator=(const Observable &) | Observable | |
| operator=(const Observer &) (defined in Observer) | Observer | |
| performCalculations() const | Instrument | protectedvirtual |
| previousCashFlowDate(Date d=Date()) const (defined in Bond) | Bond | |
| previousCouponRate(Date d=Date()) const | Bond | |
| recalculate() | LazyObject | |
| redemption() const | Bond | |
| redemptions() const | Bond | |
| redemptions_ (defined in Bond) | Bond | protected |
| registerWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| registerWithObservables(const ext::shared_ptr< Observer > &) | Observer | |
| result(const std::string &tag) const | Instrument | |
| set_type typedef (defined in Observer) | Observer | |
| setPricingEngine(const ext::shared_ptr< PricingEngine > &) | Instrument | |
| setSingleRedemption(Real notional, Real redemption, const Date &date) | Bond | protected |
| setSingleRedemption(Real notional, const ext::shared_ptr< CashFlow > &redemption) | Bond | protected |
| settlementDate(Date d=Date()) const (defined in Bond) | Bond | |
| settlementDays() const (defined in Bond) | Bond | |
| settlementDays_ (defined in Bond) | Bond | protected |
| settlementValue() const | Bond | |
| settlementValue(Real cleanPrice) const | Bond | |
| settlementValue_ (defined in Bond) | Bond | mutableprotected |
| setupArguments(PricingEngine::arguments *) const (defined in CatBond) | CatBond | virtual |
| setupExpired() const | Bond | protectedvirtual |
| startDate() const (defined in Bond) | Bond | |
| unfreeze() | LazyObject | |
| unregisterWith(const ext::shared_ptr< Observable > &) (defined in Observer) | Observer | |
| unregisterWithAll() (defined in Observer) | Observer | |
| update() | LazyObject | virtual |
| valuationDate() const | Instrument | |
| valuationDate_ (defined in Instrument) | Instrument | mutableprotected |
| yield(const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const | Bond | |
| yield(Real cleanPrice, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const | Bond | |
| ~CatBond() (defined in CatBond) | CatBond | virtual |
| ~LazyObject() (defined in LazyObject) | LazyObject | virtual |
| ~Observable() (defined in Observable) | Observable | virtual |
| ~Observer() (defined in Observer) | Observer | virtual |