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

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Referenced By

The man page IrregularSwap(3) is an alias of QuantLib_IrregularSwap(3).

Wed Aug 2 2017 Version 1.10 QuantLib