functions to construct and use Leg objects.
The first step is to load the QuantLib package.
Needs["QuantLib`"]
Within the CouponVectors part there are several constructors and member functions available
In[55]:=
Select[Category[CouponVectors],QLConstructor[#]&]
Out[55]=
In[56]:=
Select[Category[CouponVectors],QLMember[#]&]
Out[56]=
In[57]:=
Select[Category[CouponVectors],QLProcedure[#]&]
Out[57]=
In[50]:=
In[54]:=
obj=FixedRateLeg[Nominals,ScheduleID,Coupons,DayCounter]
Out[54]=
IborLeg
obj=IborLeg[Nominals,ScheduleID,DayCounter,IborIndexID]
DigitalIborLeg
obj=DigitalIborLeg[Nominals,ScheduleID,DayCounter,IborIndex,CallSpecs,PutSpecs,Replication]
CmsLeg
obj=CmsLeg[Nominals,ScheduleID,DayCounter,SwapIndex]
DigitalCmsLeg
obj=DigitalCmsLeg[Nominals,ScheduleID,DayCounter,SwapIndex,CallSpecs,PutSpecs,Replication]
RangeAccrualLeg
obj=RangeAccrualLeg[Nominals,ScheduleID,DayCounter,IborIndex,ObservationsTenor]
CmsZeroLeg
obj=CmsZeroLeg[Nominals,ScheduleID,DayCounter,SwapIndex]
IborCouponPricer
obj=IborCouponPricer[Volatility,IborCouponPricerType]
CmsCouponPricer
obj=CmsCouponPricer[Volatility,CmsCouponPricerType,YieldCurveModel,MeanReversion]
ConundrumPricerByNumericalIntegration
obj=ConundrumPricerByNumericalIntegration[SwaptionVol,YieldCurveModel,MeanReversion]
DigitalReplication
obj=DigitalReplication[Replication]
ConundrumPricerByNumericalIntegrationUpperLimit
ConundrumPricerByNumericalIntegrationUpperLimit[obj]
