QuantLib 0.3.7
Getting started
Reference manual
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#include <ql/Instruments/simpleswap.hpp>
Inheritance diagram for SimpleSwap:
[legend]List of all members.
Detailed Description
Simple fixed-rate vs Libor swap.
- Tests:
- a) the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.
b) the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.
c) the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.
d) the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.
e) the correctness of the returned value is tested by checking it against a known good value.
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Public Member Functions |
| SimpleSwap (bool payFixedRate, const Date &startDate, Integer n, TimeUnit units, const Calendar &calendar, BusinessDayConvention rollingConvention, Real nominal, Frequency fixedFrequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, Frequency floatingFrequency, const boost::shared_ptr< Xibor > &index, Integer indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure) |
| SimpleSwap (bool payFixedRate, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< Xibor > &index, Integer indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure) |
Rate | fairRate () const |
Spread | fairSpread () const |
Real | fixedLegBPS () const |
Real | floatingLegBPS () const |
Rate | fixedRate () const |
Spread | spread () const |
Real | nominal () const |
bool | payFixedRate () const |
const std::vector< boost::shared_ptr<
CashFlow > > & | fixedLeg () const |
const std::vector< boost::shared_ptr<
CashFlow > > & | floatingLeg () const |
void | setupArguments (Arguments *args) const |
Constructor & Destructor Documentation
SimpleSwap |
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bool |
payFixedRate, |
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const Date & |
startDate, |
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Integer |
n, |
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TimeUnit |
units, |
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const Calendar & |
calendar, |
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BusinessDayConvention |
rollingConvention, |
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Real |
nominal, |
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Frequency |
fixedFrequency, |
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Rate |
fixedRate, |
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bool |
fixedIsAdjusted, |
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const DayCounter & |
fixedDayCount, |
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Frequency |
floatingFrequency, |
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const boost::shared_ptr< Xibor > & |
index, |
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Integer |
indexFixingDays, |
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Spread |
spread, |
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const RelinkableHandle< TermStructure > & |
termStructure |
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Member Function Documentation
void setupArguments |
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Arguments * |
args |
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const [virtual] |
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When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument. |
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