SimpleSwap Class Reference
[Financial instruments]

#include <ql/Instruments/simpleswap.hpp>

Inheritance diagram for SimpleSwap:

Inheritance graph
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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.


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 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
 

Deprecated:
use the constructor taking two Schedules


Member Function Documentation

void setupArguments Arguments args  )  const [virtual]
 

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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