legBPS_ (3) - Linux Manuals

legBPS_: 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

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.