SimpleSwap Class Reference
[Financial instruments]

#include <ql/Instruments/simpleswap.hpp>

Inheritance diagram for SimpleSwap:

Inheritance graph
[legend]
List of all members.

Detailed Description

Simple fixed-rate vs Libor swap.

Tests:
  • the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.
  • the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.
  • the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.
  • the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.
  • the correctness of the returned value is tested by checking it against a known good value.
Examples:

BermudanSwaption.cpp, and swapvaluation.cpp.


Public Member Functions

 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 Handle< YieldTermStructure > &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

Classes

class  arguments
 Arguments for simple swap calculation More...
class  results
 Results from simple swap calculation More...


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.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen