ZeroCouponSwap Class Reference

Zero-coupon interest rate swap. More...

#include <ql/instruments/zerocouponswap.hpp>

Inheritance diagram for ZeroCouponSwap:

Public Member Functions
	ZeroCouponSwap (Type type, Real baseNominal, const Date &startDate, const Date &maturityDate, Real fixedPayment, ext::shared_ptr< IborIndex > iborIndex, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=Following, Natural paymentDelay=0)
	ZeroCouponSwap (Type type, Real baseNominal, const Date &startDate, const Date &maturityDate, Rate fixedRate, const DayCounter &fixedDayCounter, ext::shared_ptr< IborIndex > iborIndex, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=Following, Natural paymentDelay=0)
Inspectors
Type	type () const
	"payer" or "receiver" refer to the fixed leg.
Real	baseNominal () const
Date	startDate () const override
Date	maturityDate () const override
const ext::shared_ptr< IborIndex > &	iborIndex () const
const Leg &	fixedLeg () const
	just one cashflow in each leg
const Leg &	floatingLeg () const
	just one cashflow in each leg
Real	fixedPayment () const
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () 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
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
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
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 ()

Results
Real	fixedLegNPV () const
Real	floatingLegNPV () const
Real	fairFixedPayment () const
Rate	fairFixedRate (const DayCounter &dayCounter) const

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
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_
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

Zero-coupon interest rate swap.

Quoted in terms of a known fixed cash flow \( N^{FIX} \) or a fixed rate \( R \), where:

\[N^{FIX} = N \left[ (1+R)^{\alpha(T_{0}, T_{K})}-1 \right] , \]

with \( \alpha(T_{0}, T_{K}) \) being the time fraction between the start date of the contract \( T_{0} \) and the end date \( T_{K} \) - according to a given day count convention. \( N \) is the base notional amount prior to compounding. The floating leg also pays a single cash flow \( N^{FLT} \), which value is determined by periodically averaging (e.g. every 6 months) interest rate index fixings. Assuming the use of compounded averaging the projected value of the floating leg becomes:

\[N^{FLT} = N \left[ \prod_{k=0}^{K-1} (1+\alpha(T_{k},T_{k+1}) L(T_{k},T_{k+1})) -1 \right], \]

where \( L(T_{i}, T_{j})) \) are interest rate index fixings for accrual period \( [T_{i}, T_{j}] \). For a par contract, it holds that:

\[P_n(0,T) N^{FIX} = P_n(0,T) N^{FLT} \]

where \( T \) is the final payment time, \( P_n(0,t) \) is the nominal discount factor at time \( t \).

At maturity the two single cashflows are swapped.

Note

we do not need Schedules on the legs because they use one or two dates only per leg. Those dates are not adjusted for potential non-business days. Only the payment date is subject to adjustment.

Member Function Documentation

startDate()

Date startDate ( ) const

overridevirtual

Reimplemented from Swap.

maturityDate()

Date maturityDate ( ) const

overridevirtual

Reimplemented from Swap.