SimpleSwap Class Reference

#include <ql/Instruments/simpleswap.hpp>

Inheritance diagram for SimpleSwap:

Inheritance graph
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List of all members.

Detailed Description

Simple fixed-rate vs Libor swap.


Public Member Functions

 SimpleSwap (bool payFixedRate, const Date &startDate, int n, TimeUnit units, const Calendar &calendar, RollingConvention rollingConvention, double nominal, int fixedFrequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floatingFrequency, const Handle< Xibor > &index, int indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure)
 SimpleSwap (bool payFixedRate, double nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const Handle< Xibor > &index, int indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure)
Rate fairRate () const
Spread fairSpread () const
double fixedLegBPS () const
double floatingLegBPS () const
Rate fixedRate () const
Spread spread () const
double nominal () const
bool payFixedRate () const
const std::vector< Handle<
CashFlow > > & 
fixedLeg () const
const std::vector< Handle<
CashFlow > > & 
floatingLeg () const
void setupArguments (Arguments *args) const


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.


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