Swap Class Reference

Interest rate swap. More...

#include <ql/instruments/swap.hpp>

Inheritance diagram for Swap:

Public Types
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
Observable interface
void	deepUpdate () override
Additional interface
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
bool	payer (Size j) const
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()

Instrument interface
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Real >	legNPV_
std::vector< Real >	legBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Constructors
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
	Swap (Size legs)

Additional Inherited Members
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Interest rate swap.

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Member Enumeration Documentation

Type

enum Type

In most cases, the swap has just two legs and can be defined as receiver or payer.

Its type is usually defined with respect to the leg paying a fixed rate; derived swap classes will document any exceptions to the rule.

Examples

BermudanSwaption.cpp, CVAIRS.cpp, Gaussian1dModels.cpp, and MulticurveBootstrapping.cpp.

Constructor & Destructor Documentation

Swap() [1/3]

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() [2/3]

Swap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer )

Multi leg constructor.

Swap() [3/3]

Swap ( Size legs )

protected

This constructor can be used by derived classes that will build their legs themselves.

Member Function Documentation

deepUpdate()

void deepUpdate ( )

overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

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 YearOnYearInflationSwap.

fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

overridevirtual

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 YearOnYearInflationSwap.

setupExpired()

void setupExpired ( ) const

overrideprotectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.