QuantLib_IrregularSwap man page

IrregularSwap — Irregular swap: fixed vs floating leg.

Synopsis

#include <ql/experimental/swaptions/irregularswap.hpp>

Inherits Swap.

Classes

class arguments
Arguments for irregular-swap calculation
class results
Results from irregular-swap calculation

Public Types

enum Type { Receiver = -1, Payer = 1 }

Public Member Functions

IrregularSwap (Type type, const Leg &fixLeg, const Leg &floatLeg)

void setupArguments (PricingEngine::arguments *args) const

void fetchResults (const PricingEngine::results *) const

Inspectors

Type type () const

const Leg & fixedLeg () const

const Leg & floatingLeg () const

Results

Real fixedLegBPS () const

Real fixedLegNPV () const

Rate fairRate () const

Real floatingLegBPS () const

Real floatingLegNPV () const

Spread fairSpread () const

Additional Inherited Members

Detailed Description

Irregular swap: fixed vs floating leg.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) 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.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

fixedLeg(3), fixedLegBPS(3) and IrregularSwap(3) are aliases of QuantLib_IrregularSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib