Class is an abstract class expressing the concept of linear instruments like deposits, FRAs, futures, fxForwards and swaps. More...
#include <linearInstrument.hpp>
Public Member Functions | |
| LinearInstrument () | |
| constructor More... | |
| virtual double | price (const SmartPointer< ir::Curve > &)=0 |
| calculate price of linear instrument using one curve for discounting and projecting forward rates More... | |
| virtual double | price (const SmartPointer< ir::Curve > &discounting1, const SmartPointer< ir::Curve > &discounting2, const SmartPointer< ir::Curve > &projecting1, const SmartPointer< ir::Curve > &projecting2)=0 |
| calculate price of linear instrument using different curve for discounting and projecting forward rates More... | |
| virtual void | valuation (const SmartPointer< ir::Curve > &c)=0 |
| prints price and CFs of linear instrument using one curve for discounting and projecting forward rates More... | |
| virtual void | valuation (const SmartPointer< ir::Curve > &discounting1, const SmartPointer< ir::Curve > &discounting2, const SmartPointer< ir::Curve > &projecting1, const SmartPointer< ir::Curve > &projecting2)=0 |
| prints price and CFs of linear instrument using different curve for discounting and projecting forward rates More... | |
| virtual LinearInstrument * | clone () const =0 |
| virtual copy constructor More... | |
| virtual | ~LinearInstrument () |
| destructor More... | |
Detailed Description
Class is an abstract class expressing the concept of linear instruments like deposits, FRAs, futures, fxForwards and swaps.
Constructor & Destructor Documentation
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inline |
constructor
|
inlinevirtual |
destructor
Member Function Documentation
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pure virtual |
virtual copy constructor
Implemented in julian::IRS, julian::FRA, and julian::Deposit.
|
pure virtual |
calculate price of linear instrument using one curve for discounting and projecting forward rates
Implemented in julian::IRS, julian::FRA, and julian::Deposit.
|
pure virtual |
calculate price of linear instrument using different curve for discounting and projecting forward rates
Implemented in julian::IRS, julian::FRA, and julian::Deposit.
|
pure virtual |
prints price and CFs of linear instrument using one curve for discounting and projecting forward rates
Implemented in julian::IRS, julian::FRA, and julian::Deposit.
|
pure virtual |
prints price and CFs of linear instrument using different curve for discounting and projecting forward rates
Implemented in julian::IRS, julian::FRA, and julian::Deposit.
The documentation for this class was generated from the following file:
- C:/Unix/home/OEM/jULIAN/src/instruments/linear/linearInstrument.hpp
