QuantLib_Swap (3) - Linux Manuals
QuantLib_Swap: Interest rate swap.
NAME
QuantLib::Swap - Interest rate swap.
SYNOPSIS
#include <ql/instruments/swap.hpp>
Inherits QuantLib::Instrument.
Inherited by AssetSwap, BMASwap, and VanillaSwap.
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
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)
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.
Author
Generated automatically by Doxygen for QuantLib from the source code.