VanillaSwap Class Reference
[Financial instruments]
#include <ql/instruments/vanillaswap.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 Types | |
enum | Type { Receiver = -1, Payer = 1 } |
Public Member Functions | |
VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< IborIndex > &index, Spread spread, const DayCounter &floatingDayCount) | |
Real | fixedLegBPS () const |
Real | fixedLegNPV () const |
Rate | fairRate () const |
Real | floatingLegBPS () const |
Real | floatingLegNPV () const |
Spread | fairSpread () const |
Rate | fixedRate () const |
Spread | spread () const |
Real | nominal () const |
Type | type () const |
const Leg & | fixedLeg () const |
const Leg & | floatingLeg () const |
void | setupArguments (PricingEngine::arguments *args) const |
void | fetchResults (const PricingEngine::results *) const |
Classes | |
class | arguments |
Arguments for simple swap calculation More... | |
class | results |
Results from simple swap calculation More... |
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | 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 Swap.
void fetchResults | ( | const PricingEngine::results * | r | ) | 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 Swap.