AssetSwap Class Reference
[Financial instruments]
#include <ql/instruments/assetswap.hpp>
Inheritance diagram for AssetSwap:

Detailed Description
Bullet bond vs Libor swap.for mechanics of par asset swap and market asset swap, refer to "Introduction to Asset Swap", Lehman Brothers European Fixed Income Research - January 2000, D. O'Kane
- Bug:
- fair prices are not calculated correctly when using indexed coupons.
Public Member Functions | |
AssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true) | |
Spread | fairSpread () const |
Real | floatingLegBPS () const |
Real | fairPrice () const |
Spread | spread () const |
Real | nominal () const |
bool | payFixedRate () const |
const Leg & | bondLeg () const |
const Leg & | floatingLeg () const |
void | setupArguments (PricingEngine::arguments *args) const |
void | fetchResults (const PricingEngine::results *) const |
Classes | |
class | arguments |
Arguments for asset swap calculation More... | |
class | results |
Results from simple swap calculation More... |
Member Function Documentation
void fetchResults | ( | const PricingEngine::results * | ) | const [virtual] |
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.