QuantLib_Swap man page

Swap — Interest rate swap.

Synopsis

#include <ql/instruments/swap.hpp>

Inherits Instrument.

Inherited by AssetSwap, BMASwap, CPISwap, FloatFloatSwap, IrregularSwap, NonstandardSwap, OvernightIndexedSwap, VanillaSwap, YearOnYearInflationSwap, and ZeroCouponInflationSwap.

Public Member Functions

Additional interface

Date startDate () const

Date maturityDate () const

Real legBPS (Size j) const

Real legNPV (Size j) const

DiscountFactor startDiscounts (Size j) const

DiscountFactor endDiscounts (Size j) const

DiscountFactor npvDateDiscount () const

const Leg & leg (Size j) const

Protected Attributes

std::vector< Leg > legs_

std::vector< Real > payer_

std::vector< Real > legNPV_

std::vector< Real > legBPS_

std::vector< DiscountFactor > startDiscounts_

std::vector< DiscountFactor > endDiscounts_

DiscountFactor npvDateDiscount_

Constructors

Swap (const Leg &firstLeg, const Leg &secondLeg)

Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)

Swap (Size legs)

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const

void fetchResults (const PricingEngine::results *) const

void setupExpired () const

Additional Inherited Members

Detailed Description

Interest rate swap.

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Constructor & Destructor Documentation

Swap (const Leg & firstLeg, const Leg & secondLeg)

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Swap (const std::vector< Leg > & legs, const std::vector< bool > & payer)

Multi leg constructor.

Swap (Size legs) [protected]

This constructor can be used by derived classes that will build their legs themselves.

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.

Reimplemented in ZeroCouponInflationSwap, VanillaSwap, and YearOnYearInflationSwap.

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.

Reimplemented in ZeroCouponInflationSwap, VanillaSwap, and YearOnYearInflationSwap.

void setupExpired () const [protected], [virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

endDiscounts(3), endDiscounts_(3), leg(3), legBPS(3), legBPS_(3), legNPV(3), legNPV_(3), legs_(3), npvDateDiscount(3), npvDateDiscount_(3), payer_(3), startDiscounts(3), startDiscounts_(3) and Swap(3) are aliases of QuantLib_Swap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib