VanillaSwap Class Reference
[Financial instruments]
#include <ql/Instruments/simpleswap.hpp>
Inheritance diagram for VanillaSwap:

Detailed Description
Plain-vanilla 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:
Public Member Functions | |
VanillaSwap (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) | |
VanillaSwap (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 DayCounter &floatingDayCount, 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 |
void | fetchResults (const Results *) const |
Classes | |
class | arguments |
Arguments for simple swap calculation More... | |
class | results |
Results from simple swap calculation More... |
Constructor & Destructor Documentation
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Member Function Documentation
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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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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. |