Class SwaptionCashFlows

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A swaption mapped to deterministic fixed and floating cash flows under a tenor basis, with its exercise times after the discount curve's reference date: QuantLib's SwaptionCashFlows.

[Experimental("NQL0001")]
public sealed class SwaptionCashFlows : SwapCashFlows

Inheritance

object

IborLegCashFlows

SwapCashFlows

SwaptionCashFlows

Inherited Members

SwapCashFlows.FixedLeg

SwapCashFlows.FixedTimes

SwapCashFlows.FixedWeights

SwapCashFlows.AnnuityWeights

IborLegCashFlows.FloatLeg

IborLegCashFlows.FloatTimes

IborLegCashFlows.FloatWeights

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Constructors

SwaptionCashFlows()

Initializes a new instance of the SwaptionCashFlows class, with no flows: QuantLib's default constructor.

public SwaptionCashFlows()

SwaptionCashFlows(Swaption, YieldTermStructure, EvaluationContext, bool)

Initializes a new instance of the SwaptionCashFlows class.

public SwaptionCashFlows(Swaption swaption, YieldTermStructure discountCurve, EvaluationContext context, bool contTenorSpread = true)

Parameters

swaption Swaption

The swaption.

discountCurve YieldTermStructure

The discount curve, whose reference date the times start from.

context EvaluationContext

The evaluation context, whose fixings and forecasts the floating coupons' rates read.

contTenorSpread bool

Whether the floating spreads are continuously compounded and paid at each coupon's start; otherwise simply compounded and paid at its payment date.

Exceptions

ArgumentNullException

An argument is null.

ArgumentException

The underlying's floating leg is empty.

NanoQLException

A flow isn't a coupon, or a rate can't be read.

Properties

ExerciseTimes

Gets the exercise times after the reference date, Actual/365 (Fixed).

public ImmutableArray<double> ExerciseTimes { get; }

Property Value

ImmutableArray<double>

Swaption

Gets the swaption; null for no flows.

public Swaption? Swaption { get; }

Property Value

Swaption