DiscretizedSwap Class Reference#include <ql/PricingEngines/Swaption/discretizedswaption.hpp>
Inheritance diagram for DiscretizedSwap:
[legend]List of all members.
Detailed Description
- Bug:
- floating coupons which have already fixed are not included during rollback
Member Function Documentation
void preAdjustValues |
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This method will be invoked after rollback and before any other asset (i.e., an option on this one) has any chance to look at the values. For instance, payments happening at times already spanned by the rollback will be added here.
Reimplemented from DiscretizedAsset. |
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