SimpleSwap Class Reference#include <ql/Instruments/simpleswap.hpp>
Inheritance diagram for SimpleSwap:
[legend]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. |
|