#include <ql/Instruments/simpleswap.hpp>
Inheritance diagram for SimpleSwap:
[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.
Member Function Documentation
void setupArguments |
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Arguments * |
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const [virtual] |
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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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