C# Class QLNet.Forward

Inheritance: QLNet.Instrument
显示文件 Open project: ammachado/QLNet

Protected Properties

Property 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

Public Methods

Method 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

Protected Methods

Method 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 method

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
return System

forwardValue() public method

public forwardValue ( ) : double
return double

impliedYield() public method

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

isExpired() public method

public isExpired ( ) : bool
return bool

performCalculations() protected method

protected performCalculations ( ) : void
return void

settlementDate() public method

public settlementDate ( ) : Date
return Date

spotIncome() public abstract method

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

spotValue() public abstract method

public abstract spotValue ( ) : double
return double

Property Details

businessDayConvention_ protected_oe property

protected BusinessDayConvention businessDayConvention_
return BusinessDayConvention

calendar_ protected_oe property

protected Calendar,QLNet calendar_
return QLNet.Calendar

dayCounter_ protected_oe property

protected DayCounter dayCounter_
return DayCounter

discountCurve_ protected_oe property

protected Handle discountCurve_
return Handle

incomeDiscountCurve_ protected_oe property

protected Handle incomeDiscountCurve_
return Handle

maturityDate_ protected_oe property

protected Date maturityDate_
return Date

payoff_ protected_oe property

protected Payoff,QLNet payoff_
return QLNet.Payoff

settlementDays_ protected_oe property

protected int settlementDays_
return int

underlyingIncome_ protected_oe property

protected double underlyingIncome_
return double

underlyingSpotValue_ protected_oe property

protected double underlyingSpotValue_
return double

valueDate_ protected_oe property

protected Date valueDate_
return Date