C# Class QLNet.Forward

Inheritance: QLNet.Instrument
Afficher le fichier Open project: ammachado/QLNet

Protected Properties

Свойство Type Description
businessDayConvention_ BusinessDayConvention
calendar_ QLNet.Calendar
dayCounter_ DayCounter
discountCurve_ Handle
incomeDiscountCurve_ Handle
maturityDate_ Date
payoff_ QLNet.Payoff
settlementDays_ int
underlyingIncome_ double
underlyingSpotValue_ double
valueDate_ Date

Méthodes publiques

Méthode Description
forwardValue ( ) : double
impliedYield ( double underlyingSpotValue, double forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter ) : InterestRate
isExpired ( ) : bool
settlementDate ( ) : Date
spotIncome ( Handle incomeDiscountCurve ) : double
spotValue ( ) : double

Méthodes protégées

Méthode Description
Forward ( DayCounter dayCounter, QLNet.Calendar calendar, BusinessDayConvention businessDayConvention, int settlementDays, QLNet.Payoff payoff, Date valueDate, Date maturityDate, Handle discountCurve ) : System
performCalculations ( ) : void

Method Details

Forward() protected méthode

protected Forward ( DayCounter dayCounter, QLNet.Calendar calendar, BusinessDayConvention businessDayConvention, int settlementDays, QLNet.Payoff payoff, Date valueDate, Date maturityDate, Handle discountCurve ) : System
dayCounter DayCounter
calendar QLNet.Calendar
businessDayConvention BusinessDayConvention
settlementDays int
payoff QLNet.Payoff
valueDate Date
maturityDate Date
discountCurve Handle
Résultat System

forwardValue() public méthode

public forwardValue ( ) : double
Résultat double

impliedYield() public méthode

public impliedYield ( double underlyingSpotValue, double forwardValue, Date settlementDate, Compounding compoundingConvention, DayCounter dayCounter ) : InterestRate
underlyingSpotValue double
forwardValue double
settlementDate Date
compoundingConvention Compounding
dayCounter DayCounter
Résultat InterestRate

isExpired() public méthode

public isExpired ( ) : bool
Résultat bool

performCalculations() protected méthode

protected performCalculations ( ) : void
Résultat void

settlementDate() public méthode

public settlementDate ( ) : Date
Résultat Date

spotIncome() public abstract méthode

public abstract spotIncome ( Handle incomeDiscountCurve ) : double
incomeDiscountCurve Handle
Résultat double

spotValue() public abstract méthode

public abstract spotValue ( ) : double
Résultat double

Property Details

businessDayConvention_ protected_oe property

protected BusinessDayConvention businessDayConvention_
Résultat BusinessDayConvention

calendar_ protected_oe property

protected Calendar,QLNet calendar_
Résultat QLNet.Calendar

dayCounter_ protected_oe property

protected DayCounter dayCounter_
Résultat DayCounter

discountCurve_ protected_oe property

protected Handle discountCurve_
Résultat Handle

incomeDiscountCurve_ protected_oe property

protected Handle incomeDiscountCurve_
Résultat Handle

maturityDate_ protected_oe property

protected Date maturityDate_
Résultat Date

payoff_ protected_oe property

protected Payoff,QLNet payoff_
Résultat QLNet.Payoff

settlementDays_ protected_oe property

protected int settlementDays_
Résultat int

underlyingIncome_ protected_oe property

protected double underlyingIncome_
Résultat double

underlyingSpotValue_ protected_oe property

protected double underlyingSpotValue_
Résultat double

valueDate_ protected_oe property

protected Date valueDate_
Résultat Date