PaymentConvention (3) Linux Manual Page

QuantLib::VanillaSwap – Plain-vanilla swap.

Synopsis

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> &iborIndex, Spread spread, const DayCounter &floatingDayCount, BusinessDayConvention paymentConvention = Following)

    Real fixedLegBPS() const

    Real fixedLegNPV() const

    Rate fairRate() const

    Real floatingLegBPS() const

    Real floatingLegNPV() const

    Spread fairSpread() const

    Type type() const

    Real nominal() const

    const Schedule &fixedSchedule() const

    Rate fixedRate() const

    const DayCounter &fixedDayCount() const

    const Schedule &floatingSchedule() const

    const boost::shared_ptr<IborIndex> &iborIndex() const

    Spread spread() const

    const DayCounter &floatingDayCount() const

    BusinessDayConvention paymentConvention() const

    const Leg &fixedLeg() const

    const Leg &floatingLeg() const

    void setupArguments(PricingEngine::arguments *args) const

    void fetchResults(const PricingEngine::results *) const

Inherits QuantLib::Swap.

Classes

class arguments
Arguments for simple swap calculation
class results
Results from simple swap calculation

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> &iborIndex, Spread spread, const DayCounter &floatingDayCount, BusinessDayConvention paymentConvention = Following)

    Real fixedLegBPS() const

    Real fixedLegNPV() const

    Rate fairRate() const

    Real floatingLegBPS() const

    Real floatingLegNPV() const

    Spread fairSpread() const

    Type type() const

    Real nominal() const

    const Schedule &fixedSchedule() const

    Rate fixedRate() const

    const DayCounter &fixedDayCount() const

    const Schedule &floatingSchedule() const

    const boost::shared_ptr<IborIndex> &iborIndex() const

    Spread spread() const

    const DayCounter &floatingDayCount() const

    BusinessDayConvention paymentConvention() const

    const Leg &fixedLeg() const

    const Leg &floatingLeg() const

    void setupArguments(PricingEngine::arguments *args) const

    void fetchResults(const PricingEngine::results *) const

Detailed Description

Plain-vanilla swap.

Warning

if QL_TODAYS_PAYMENTS was defined (in userconfig.hpp or when calling ./configure; it is undefined by default) payments occurring at the settlement date of the swap are included in the NPV, and therefore affect the fair-rate and fair-spread calculation. This might not be what you want.

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:

BermudanSwaption.cpp, and swapvaluation.cpp.

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

paymentConvention (3) Linux Manual Page