MakeVanillaSwap Class Reference

helper class More...

#include <makevanillaswap.hpp>

Collaboration diagram for MakeVanillaSwap:

Public Member Functions
	MakeVanillaSwap (const Period &swapTenor, const ext::shared_ptr< IborIndex > &iborIndex, Rate fixedRate=Null< Rate >(), const Period &forwardStart=0 *Days)
	operator VanillaSwap () const
	operator ext::shared_ptr< VanillaSwap > () const
MakeVanillaSwap &	receiveFixed (bool flag=true)
MakeVanillaSwap &	withType (Swap::Type type)
MakeVanillaSwap &	withNominal (Real n)
MakeVanillaSwap &	withSettlementDays (Natural settlementDays)
MakeVanillaSwap &	withEffectiveDate (const Date &)
MakeVanillaSwap &	withTerminationDate (const Date &)
MakeVanillaSwap &	withRule (DateGeneration::Rule r)
MakeVanillaSwap &	withPaymentConvention (BusinessDayConvention bdc)
MakeVanillaSwap &	withFixedLegTenor (const Period &t)
MakeVanillaSwap &	withFixedLegCalendar (const Calendar &cal)
MakeVanillaSwap &	withFixedLegConvention (BusinessDayConvention bdc)
MakeVanillaSwap &	withFixedLegTerminationDateConvention (BusinessDayConvention bdc)
MakeVanillaSwap &	withFixedLegRule (DateGeneration::Rule r)
MakeVanillaSwap &	withFixedLegEndOfMonth (bool flag=true)
MakeVanillaSwap &	withFixedLegFirstDate (const Date &d)
MakeVanillaSwap &	withFixedLegNextToLastDate (const Date &d)
MakeVanillaSwap &	withFixedLegDayCount (const DayCounter &dc)
MakeVanillaSwap &	withFloatingLegTenor (const Period &t)
MakeVanillaSwap &	withFloatingLegCalendar (const Calendar &cal)
MakeVanillaSwap &	withFloatingLegConvention (BusinessDayConvention bdc)
MakeVanillaSwap &	withFloatingLegTerminationDateConvention (BusinessDayConvention bdc)
MakeVanillaSwap &	withFloatingLegRule (DateGeneration::Rule r)
MakeVanillaSwap &	withFloatingLegEndOfMonth (bool flag=true)
MakeVanillaSwap &	withFloatingLegFirstDate (const Date &d)
MakeVanillaSwap &	withFloatingLegNextToLastDate (const Date &d)
MakeVanillaSwap &	withFloatingLegDayCount (const DayCounter &dc)
MakeVanillaSwap &	withFloatingLegSpread (Spread sp)
MakeVanillaSwap &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountCurve)
MakeVanillaSwap &	withPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
MakeVanillaSwap &	withIndexedCoupons (const ext::optional< bool > &b=true)
MakeVanillaSwap &	withAtParCoupons (bool b=true)

Private Attributes
Period	swapTenor_
ext::shared_ptr< IborIndex >	iborIndex_
Rate	fixedRate_
Period	forwardStart_
Natural	settlementDays_
Date	effectiveDate_
Date	terminationDate_
Calendar	fixedCalendar_
Calendar	floatCalendar_
Swap::Type	type_ = Swap::Payer
Real	nominal_ = 1.0
Period	fixedTenor_
Period	floatTenor_
BusinessDayConvention	fixedConvention_ = ModifiedFollowing
BusinessDayConvention	fixedTerminationDateConvention_ = ModifiedFollowing
BusinessDayConvention	floatConvention_
BusinessDayConvention	floatTerminationDateConvention_
DateGeneration::Rule	fixedRule_ = DateGeneration::Backward
DateGeneration::Rule	floatRule_ = DateGeneration::Backward
bool	fixedEndOfMonth_ = false
bool	floatEndOfMonth_ = false
Date	fixedFirstDate_
Date	fixedNextToLastDate_
Date	floatFirstDate_
Date	floatNextToLastDate_
Spread	floatSpread_ = 0.0
DayCounter	fixedDayCount_
DayCounter	floatDayCount_
ext::optional< bool >	useIndexedCoupons_
ext::optional< BusinessDayConvention >	paymentConvention_
ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard market swap.

Examples

CVAIRS.cpp.

Definition at line 39 of file makevanillaswap.hpp.

Constructor & Destructor Documentation

MakeVanillaSwap()

MakeVanillaSwap	(	const Period &	swapTenor,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Rate	fixedRate = Null<Rate>(),
		const Period &	forwardStart = 0*Days
	)

Definition at line 40 of file makevanillaswap.cpp.

Member Function Documentation

operator VanillaSwap()

operator VanillaSwap

(

)

const

Definition at line 55 of file makevanillaswap.cpp.

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operator ext::shared_ptr< VanillaSwap >()

operator ext::shared_ptr< VanillaSwap >

(

)

const

Definition at line 60 of file makevanillaswap.cpp.

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receiveFixed()

MakeVanillaSwap & receiveFixed

(

bool

flag = true

)

Definition at line 190 of file makevanillaswap.cpp.

withType()

MakeVanillaSwap & withType

(

Swap::Type

type

)

Examples

CVAIRS.cpp.

Definition at line 195 of file makevanillaswap.cpp.

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withNominal()

MakeVanillaSwap & withNominal

(

Real

n

)

Examples

CVAIRS.cpp.

Definition at line 200 of file makevanillaswap.cpp.

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withSettlementDays()

MakeVanillaSwap & withSettlementDays

(

Natural

settlementDays

)

Examples

CVAIRS.cpp.

Definition at line 205 of file makevanillaswap.cpp.

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withEffectiveDate()

MakeVanillaSwap & withEffectiveDate

(

const Date &

effectiveDate

)

Definition at line 212 of file makevanillaswap.cpp.

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withTerminationDate()

MakeVanillaSwap & withTerminationDate

(

const Date &

terminationDate

)

Definition at line 218 of file makevanillaswap.cpp.

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withRule()

MakeVanillaSwap & withRule

(

DateGeneration::Rule

r

)

Definition at line 225 of file makevanillaswap.cpp.

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withPaymentConvention()

MakeVanillaSwap & withPaymentConvention

(

BusinessDayConvention

bdc

)

Definition at line 231 of file makevanillaswap.cpp.

withFixedLegTenor()

MakeVanillaSwap & withFixedLegTenor

(

const Period &

t

)

Examples

CVAIRS.cpp.

Definition at line 250 of file makevanillaswap.cpp.

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withFixedLegCalendar()

MakeVanillaSwap & withFixedLegCalendar

(

const Calendar &

cal

)

Examples

CVAIRS.cpp.

Definition at line 256 of file makevanillaswap.cpp.

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withFixedLegConvention()

MakeVanillaSwap & withFixedLegConvention

(

BusinessDayConvention

bdc

)

Examples

CVAIRS.cpp.

Definition at line 262 of file makevanillaswap.cpp.

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withFixedLegTerminationDateConvention()

MakeVanillaSwap & withFixedLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Examples

CVAIRS.cpp.

Definition at line 268 of file makevanillaswap.cpp.

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withFixedLegRule()

MakeVanillaSwap & withFixedLegRule

(

DateGeneration::Rule

r

)

Definition at line 273 of file makevanillaswap.cpp.

withFixedLegEndOfMonth()

MakeVanillaSwap & withFixedLegEndOfMonth

(

bool

flag = true

)

Definition at line 278 of file makevanillaswap.cpp.

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withFixedLegFirstDate()

MakeVanillaSwap & withFixedLegFirstDate

(

const Date &

d

)

Definition at line 283 of file makevanillaswap.cpp.

withFixedLegNextToLastDate()

MakeVanillaSwap & withFixedLegNextToLastDate

(

const Date &

d

)

Definition at line 289 of file makevanillaswap.cpp.

withFixedLegDayCount()

MakeVanillaSwap & withFixedLegDayCount

(

const DayCounter &

dc

)

Examples

CVAIRS.cpp.

Definition at line 295 of file makevanillaswap.cpp.

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withFloatingLegTenor()

MakeVanillaSwap & withFloatingLegTenor

(

const Period &

t

)

Definition at line 300 of file makevanillaswap.cpp.

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withFloatingLegCalendar()

MakeVanillaSwap & withFloatingLegCalendar

(

const Calendar &

cal

)

Examples

CVAIRS.cpp.

Definition at line 306 of file makevanillaswap.cpp.

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withFloatingLegConvention()

MakeVanillaSwap & withFloatingLegConvention

(

BusinessDayConvention

bdc

)

Definition at line 312 of file makevanillaswap.cpp.

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withFloatingLegTerminationDateConvention()

MakeVanillaSwap & withFloatingLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 318 of file makevanillaswap.cpp.

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withFloatingLegRule()

MakeVanillaSwap & withFloatingLegRule

(

DateGeneration::Rule

r

)

Definition at line 323 of file makevanillaswap.cpp.

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withFloatingLegEndOfMonth()

MakeVanillaSwap & withFloatingLegEndOfMonth

(

bool

flag = true

)

Definition at line 328 of file makevanillaswap.cpp.

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withFloatingLegFirstDate()

MakeVanillaSwap & withFloatingLegFirstDate

(

const Date &

d

)

Definition at line 334 of file makevanillaswap.cpp.

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withFloatingLegNextToLastDate()

MakeVanillaSwap & withFloatingLegNextToLastDate

(

const Date &

d

)

Definition at line 340 of file makevanillaswap.cpp.

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withFloatingLegDayCount()

MakeVanillaSwap & withFloatingLegDayCount

(

const DayCounter &

dc

)

Definition at line 346 of file makevanillaswap.cpp.

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withFloatingLegSpread()

MakeVanillaSwap & withFloatingLegSpread

(

Spread

sp

)

Definition at line 351 of file makevanillaswap.cpp.

withDiscountingTermStructure()

MakeVanillaSwap & withDiscountingTermStructure

(

const Handle< YieldTermStructure > &

discountCurve

)

Definition at line 236 of file makevanillaswap.cpp.

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withPricingEngine()

MakeVanillaSwap & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 244 of file makevanillaswap.cpp.

withIndexedCoupons()

MakeVanillaSwap & withIndexedCoupons

(

const ext::optional< bool > &

b = true

)

Definition at line 356 of file makevanillaswap.cpp.

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withAtParCoupons()

MakeVanillaSwap & withAtParCoupons

(

bool

b = true

)

Definition at line 361 of file makevanillaswap.cpp.

Member Data Documentation

swapTenor_

Period swapTenor_

private

Definition at line 89 of file makevanillaswap.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 90 of file makevanillaswap.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 91 of file makevanillaswap.hpp.

forwardStart_

Period forwardStart_

private

Definition at line 92 of file makevanillaswap.hpp.

settlementDays_

Natural settlementDays_

private

Definition at line 94 of file makevanillaswap.hpp.

effectiveDate_

Date effectiveDate_

private

Definition at line 95 of file makevanillaswap.hpp.

terminationDate_

Date terminationDate_

private

Definition at line 95 of file makevanillaswap.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 96 of file makevanillaswap.hpp.

floatCalendar_

Calendar floatCalendar_

private

Definition at line 96 of file makevanillaswap.hpp.

type_

Swap::Type type_ = Swap::Payer

private

Definition at line 98 of file makevanillaswap.hpp.

nominal_

Real nominal_ = 1.0

private

Definition at line 99 of file makevanillaswap.hpp.

fixedTenor_

Period fixedTenor_

private

Definition at line 100 of file makevanillaswap.hpp.

floatTenor_

Period floatTenor_

private

Definition at line 100 of file makevanillaswap.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_ = ModifiedFollowing

private

Definition at line 101 of file makevanillaswap.hpp.

fixedTerminationDateConvention_

BusinessDayConvention fixedTerminationDateConvention_ = ModifiedFollowing

private

Definition at line 102 of file makevanillaswap.hpp.

floatConvention_

BusinessDayConvention floatConvention_

private

Definition at line 103 of file makevanillaswap.hpp.

floatTerminationDateConvention_

BusinessDayConvention floatTerminationDateConvention_

private

Definition at line 103 of file makevanillaswap.hpp.

fixedRule_

DateGeneration::Rule fixedRule_ = DateGeneration::Backward

private

Definition at line 104 of file makevanillaswap.hpp.

floatRule_

DateGeneration::Rule floatRule_ = DateGeneration::Backward

private

Definition at line 105 of file makevanillaswap.hpp.

fixedEndOfMonth_

bool fixedEndOfMonth_ = false

private

Definition at line 106 of file makevanillaswap.hpp.

floatEndOfMonth_

bool floatEndOfMonth_ = false

private

Definition at line 106 of file makevanillaswap.hpp.

fixedFirstDate_

Date fixedFirstDate_

private

Definition at line 107 of file makevanillaswap.hpp.

fixedNextToLastDate_

Date fixedNextToLastDate_

private

Definition at line 107 of file makevanillaswap.hpp.

floatFirstDate_

Date floatFirstDate_

private

Definition at line 108 of file makevanillaswap.hpp.

floatNextToLastDate_

Date floatNextToLastDate_

private

Definition at line 108 of file makevanillaswap.hpp.

floatSpread_

Spread floatSpread_ = 0.0

private

Definition at line 109 of file makevanillaswap.hpp.

fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 110 of file makevanillaswap.hpp.

floatDayCount_

DayCounter floatDayCount_

private

Definition at line 110 of file makevanillaswap.hpp.

useIndexedCoupons_

ext::optional<bool> useIndexedCoupons_

private

Definition at line 111 of file makevanillaswap.hpp.

paymentConvention_

ext::optional<BusinessDayConvention> paymentConvention_

private

Definition at line 112 of file makevanillaswap.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 114 of file makevanillaswap.hpp.