QuantLib_AssetSwap (3) Linux Manual Page

QuantLib::AssetSwap – Bullet bond vs Libor swap.

Synopsis

#include <ql/instruments/assetswap.hpp>

Inherits QuantLib::Swap.

Classes

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

Public Member Functions

AssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)

Spread fairSpread () const

Real floatingLegBPS () const

Real fairPrice () const

Spread spread () const

Real nominal () const

bool payFixedRate () const

const Leg & bondLeg () const

const Leg & floatingLeg () const

void setupArguments (PricingEngine::arguments *args) const

void fetchResults (const PricingEngine::results *) const

Detailed Description

Bullet bond vs Libor swap.

for mechanics of par asset swap and market asset swap, refer to ‘Introduction to Asset Swap’, Lehman Brothers European Fixed Income Research – January 2000, D. O’Kane

Bug

fair prices are not calculated correctly when using indexed coupons.

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.