scalt0.cpp File Reference

Extends cap floor coupon to Inflation products. More...

#include "scalt0.hpp"
#include <stack>
#include <algorithm>
#include <typeinfo>
#include <boost/bind.hpp>
#include <boost/foreach.hpp>
#include <ql/utilities/tracing.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/indexes/ibor/euribor.hpp>
#include <ql/time/daycounters/thirty360.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/time/schedule.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/time/calendars/all.hpp>
#include "qlcal.cpp"
#include "weekdays0.hpp"
#include "scal0.hpp"
#include <iostream>
#include <exception>

Go to the source code of this file.

Namespaces
namespace	Test
namespace	Test::weekday_t
namespace	Test::eleve_t
namespace	Test::corrections_t
namespace	Test::comparisons_t
Classes
struct	Test::weekday_t::weekday
struct	Test::eleve_t::eleve
struct	Test::corrections_t::corrections
struct	Test::comparisons_t::comparisons
Functions
bool	is_equal (Real tolerance_, Real value_, Real value1_)
bool	is_less (Real value_, Real value1_)
Variables
Results	results

---

Detailed Description

Extends cap floor coupon to Inflation products.

Author:

Walter Eaves

Date:

June 2009

Note that some tests needs some data from a prior (inflation) test to run. The "ts" tests from Caps/inflation.cpp.

They are re-used by making use of the "fixture" feature of Boost unit test. A "fixture" is inherited.

Definition in file scalt0.cpp.

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Function Documentation

bool @22::is_equal	(	Real	tolerance_,
		Real	value_,
		Real	value1_
	)			[static]

Definition at line 106 of file scalt0.cpp.

bool @22::is_less	(	Real	value_,
		Real	value1_
	)			[static]

Definition at line 110 of file scalt0.cpp.

---

Variable Documentation

SavedSettings backup

Definition at line 72 of file scalt0.cpp.

Referenced by Test::vol_t::vol::atm(), and Test::vol_t::vol::vol0().

Calendar calendar

Definition at line 60 of file scalt0.cpp.

Referenced by Test::qlcal_t::qlcal::between().

const Rate cap_ [static]

Definition at line 53 of file scalt0.cpp.

BusinessDayConvention convention

Definition at line 63 of file scalt0.cpp.

Natural fixingDays

Definition at line 66 of file scalt0.cpp.

Referenced by setupPriceSurface().

const Rate floor_ [static]

Definition at line 52 of file scalt0.cpp.

Frequency frequency

Definition at line 64 of file scalt0.cpp.

boost::shared_ptr<IborIndex> index

Definition at line 65 of file scalt0.cpp.

Integer length

Definition at line 67 of file scalt0.cpp.

Real nominal

Definition at line 61 of file scalt0.cpp.

std::vector<Real> nominals

Definition at line 62 of file scalt0.cpp.

Results results [static]

Definition at line 48 of file scalt0.cpp.

Referenced by Test::mi3_t::mi3::e0(), and Test::mi3_t::mi3::e1().

std::deque<QuantLib::Real>& results_

Definition at line 45 of file scalt0.cpp.

Date settlement

Definition at line 59 of file scalt0.cpp.

Natural settlementDays

Definition at line 66 of file scalt0.cpp.

Referenced by Test::vol_t::vol::vol0().

Date startDate

Definition at line 59 of file scalt0.cpp.

RelinkableHandle<YieldTermStructure> termStructure

Definition at line 69 of file scalt0.cpp.

Date today

Definition at line 59 of file scalt0.cpp.

Volatility volatility_

Definition at line 68 of file scalt0.cpp.