Swap Class Reference
[Financial instruments]
Interest rate swap.
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#include <ql/instruments/swap.hpp>

Public Member Functions | |
Constructors | |
Swap (const Leg &firstLeg, const Leg &secondLeg) | |
Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
Additional interface | |
Date | startDate () const |
Date | maturityDate () const |
Real | legBPS (Size j) const |
Real | legNPV (Size j) const |
const Leg & | leg (Size j) const |
Protected Member Functions | |
Constructors | |
Swap (Size legs) | |
Instrument interface | |
void | setupExpired () const |
Protected Attributes | |
std::vector< Leg > | legs_ |
std::vector< Real > | payer_ |
std::vector< Real > | legNPV_ |
std::vector< Real > | legBPS_ |
Detailed Description
Interest rate swap.The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.
Constructor & Destructor Documentation
Swap | ( | const Leg & | firstLeg, | |
const Leg & | secondLeg | |||
) |
The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.
Swap | ( | const std::vector< Leg > & | legs, | |
const std::vector< bool > & | payer | |||
) |
Multi leg constructor.
Swap | ( | Size | legs | ) | [protected] |
This constructor can be used by derived classes that will build their legs themselves.
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 Instrument.
Reimplemented in AssetSwap, and VanillaSwap.
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 Instrument.
Reimplemented in AssetSwap, and VanillaSwap.
void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.