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cross-currency swap builder added #2736

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8 changes: 8 additions & 0 deletions ql/CMakeLists.txt
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Original file line number Diff line number Diff line change
Expand Up @@ -149,6 +149,7 @@ set(QL_SOURCES
experimental/forward/analytichestonforwardeuropeanengine.cpp
experimental/fx/discountingmtmcrosscurrencybasisswapengine.cpp
experimental/fx/fxresetcashflows.cpp
experimental/fx/makemtmcrosscurrencybasisswap.cpp
experimental/fx/mtmcrosscurrencybasisswap.cpp
experimental/inflation/cpicapfloorengines.cpp
experimental/inflation/cpicapfloortermpricesurface.cpp
Expand Down Expand Up @@ -291,6 +292,9 @@ set(QL_SOURCES
instruments/makecapfloor.cpp
instruments/makecds.cpp
instruments/makecms.cpp
instruments/makeconstnotionalcrosscurrencybasisswap.cpp
instruments/makeconstnotionalcrosscurrencyfixedvsfloatingswap.cpp
instruments/makeconstnotionalcrosscurrencyswap.cpp
instruments/makemultipleresetsswap.cpp
instruments/makeois.cpp
instruments/makeswaption.cpp
Expand Down Expand Up @@ -1179,6 +1183,7 @@ set(QL_HEADERS
experimental/fx/deltavolquote.hpp
experimental/fx/discountingmtmcrosscurrencybasisswapengine.hpp
experimental/fx/fxresetcashflows.hpp
experimental/fx/makemtmcrosscurrencybasisswap.hpp
experimental/fx/mtmcrosscurrencybasisswap.hpp
experimental/inflation/cpicapfloorengines.hpp
experimental/inflation/cpicapfloortermpricesurface.hpp
Expand Down Expand Up @@ -1391,6 +1396,9 @@ set(QL_HEADERS
instruments/makecapfloor.hpp
instruments/makecds.hpp
instruments/makecms.hpp
instruments/makeconstnotionalcrosscurrencybasisswap.hpp
instruments/makeconstnotionalcrosscurrencyfixedvsfloatingswap.hpp
instruments/makeconstnotionalcrosscurrencyswap.hpp
instruments/makemultipleresetsswap.hpp
instruments/makeois.hpp
instruments/makeswaption.hpp
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2 changes: 2 additions & 0 deletions ql/experimental/fx/Makefile.am
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Expand Up @@ -8,11 +8,13 @@ this_include_HEADERS = \
deltavolquote.hpp \
discountingmtmcrosscurrencybasisswapengine.hpp \
fxresetcashflows.hpp \
makemtmcrosscurrencybasisswap.hpp \
mtmcrosscurrencybasisswap.hpp

cpp_files = \
discountingmtmcrosscurrencybasisswapengine.cpp \
fxresetcashflows.cpp \
makemtmcrosscurrencybasisswap.cpp \
mtmcrosscurrencybasisswap.cpp

if UNITY_BUILD
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1 change: 1 addition & 0 deletions ql/experimental/fx/all.hpp
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Expand Up @@ -3,5 +3,6 @@

#include <ql/experimental/fx/discountingmtmcrosscurrencybasisswapengine.hpp>
#include <ql/experimental/fx/fxresetcashflows.hpp>
#include <ql/experimental/fx/makemtmcrosscurrencybasisswap.hpp>
#include <ql/experimental/fx/mtmcrosscurrencybasisswap.hpp>

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