VanillaSwap Class Reference

Plain-vanilla swap: fix vs ibor leg. More...

#include <vanillaswap.hpp>

Inheritance diagram for VanillaSwap:

Collaboration diagram for VanillaSwap:

Public Member Functions
	VanillaSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, Schedule floatSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, ext::optional< bool > useIndexedCoupons=ext::nullopt)
Public Member Functions inherited from FixedVsFloatingSwap
	FixedVsFloatingSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, std::vector< Real > floatingNominals, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, Integer paymentLag=0, const Calendar &paymentCalendar=Calendar())
Type	type () const
Real	nominal () const
const std::vector< Real > &	nominals () const
const std::vector< Real > &	fixedNominals () const
const Schedule &	fixedSchedule () const
Rate	fixedRate () const
const DayCounter &	fixedDayCount () const
const std::vector< Real > &	floatingNominals () const
const Schedule &	floatingSchedule () const
const ext::shared_ptr< IborIndex > &	iborIndex () const
Spread	spread () const
const DayCounter &	floatingDayCount () const
BusinessDayConvention	paymentConvention () const
const Leg &	fixedLeg () const
const Leg &	floatingLeg () const
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Rate	fairRate () const
Real	floatingLegBPS () const
Real	floatingLegNPV () const
Spread	fairSpread () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Swap
void	deepUpdate () override
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
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
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
	Instrument ()
Real	NPV () const
	returns the net present value of the instrument. More...
Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...
const Date &	valuationDate () const
	returns the date the net present value refers to. More...
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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 ()
virtual void	update ()=0
virtual void	deepUpdate ()

Private Member Functions
void	setupFloatingArguments (arguments *args) const override

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

Detailed Description

Plain-vanilla swap: fix vs ibor leg.

If no payment convention is passed, the convention of the floating-rate schedule is used.

Warning:

if Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be 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

Gaussian1dModels.cpp, and MulticurveBootstrapping.cpp.

Definition at line 65 of file vanillaswap.hpp.

Constructor & Destructor Documentation

VanillaSwap()

VanillaSwap	(	Type	type,
		Real	nominal,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	floatSchedule,
		ext::shared_ptr< IborIndex >	iborIndex,
		Spread	spread,
		DayCounter	floatingDayCount,
		ext::optional< BusinessDayConvention >	paymentConvention = ext::nullopt,
		ext::optional< bool >	useIndexedCoupons = ext::nullopt
	)

Definition at line 30 of file vanillaswap.cpp.

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Member Function Documentation

setupFloatingArguments()

void setupFloatingArguments ( arguments *  args ) const

overrideprivatevirtual

Implements FixedVsFloatingSwap.

Definition at line 55 of file vanillaswap.cpp.

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