QuantLib: AssetSwap Class Reference

Bullet bond vs Libor swap. More...

#include <assetswap.hpp>

Inheritance diagram for AssetSwap:

Collaboration diagram for AssetSwap:

Classes
class	arguments
	Arguments for asset swap calculation More...

class	results
	Results from simple swap calculation More...

Public Member Functions
	AssetSwap (bool payBondCoupon, ext::shared_ptr< Bond > bond, Real bondCleanPrice, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread, Schedule floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true, Real gearing=1.0, Real nonParRepayment=Null< Real >(), Date dealMaturity=Date())

	AssetSwap (bool parAssetSwap, ext::shared_ptr< Bond > bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)

Spread	fairSpread () const

Real	floatingLegBPS () const

Real	floatingLegNPV () const

Real	fairCleanPrice () const

Real	fairNonParRepayment () const

bool	parSwap () const

Spread	spread () const

Real	cleanPrice () const

Real	nonParRepayment () const

const ext::shared_ptr< Bond > &	bond () const

bool	payBondCoupon () const

const Leg &	bondLeg () const

const Leg &	floatingLeg () 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	setupExpired () const override

Private Attributes
ext::shared_ptr< Bond >	bond_

Real	bondCleanPrice_

Real	nonParRepayment_

Spread	spread_

bool	parSwap_

Date	upfrontDate_

Spread	fairSpread_

Real	fairCleanPrice_

Real	fairNonParRepayment_

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

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

Warning:: bondCleanPrice must be the (forward) price at the floatSchedule start date

Bug:: fair prices are not calculated correctly when using indexed coupons.

Definition at line 51 of file assetswap.hpp.

Constructor & Destructor Documentation

◆ AssetSwap() [1/2]

AssetSwap	(	bool	payBondCoupon,
		ext::shared_ptr< Bond >	bond,
		Real	bondCleanPrice,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Spread	spread,
		Schedule	floatSchedule = `Schedule()`,
		const DayCounter &	floatingDayCount = `DayCounter()`,
		bool	parAssetSwap = `true`,
		Real	gearing = `1.0`,
		Real	nonParRepayment = `Null<Real>()`,
		Date	dealMaturity = `Date()`
	)

If the passed iborIndex is an overnight rate such as SOFR, ESTR or SONIA, the floatSchedule argument is required and will be used to build overnight-indexed coupons.

Definition at line 50 of file assetswap.cpp.

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◆ AssetSwap() [2/2]

AssetSwap	(	bool	parAssetSwap,
		ext::shared_ptr< Bond >	bond,
		Real	bondCleanPrice,
		Real	nonParRepayment,
		Real	gearing,
		const ext::shared_ptr< IborIndex > &	iborIndex,
		Spread	spread = `0.0`,
		const DayCounter &	floatingDayCount = `DayCounter()`,
		Date	dealMaturity = `Date()`,
		bool	payBondCoupon = `false`
	)

Deprecated:: Use the other overload. Deprecated in version 1.37.

Definition at line 36 of file assetswap.cpp.

Member Function Documentation

◆ fairSpread()

Spread fairSpread ( ) const

Definition at line 250 of file assetswap.cpp.

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◆ floatingLegBPS()

Real floatingLegBPS ( ) const

Definition at line 263 of file assetswap.cpp.

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◆ floatingLegNPV()

Real floatingLegNPV ( ) const

Definition at line 270 of file assetswap.cpp.

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◆ fairCleanPrice()

Real fairCleanPrice ( ) const

Definition at line 277 of file assetswap.cpp.

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◆ fairNonParRepayment()

Real fairNonParRepayment ( ) const

Definition at line 299 of file assetswap.cpp.

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◆ parSwap()

bool parSwap ( ) const

Definition at line 95 of file assetswap.hpp.

◆ spread()

Spread spread ( ) const

Definition at line 96 of file assetswap.hpp.

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◆ cleanPrice()

Real cleanPrice ( ) const

Definition at line 97 of file assetswap.hpp.

◆ nonParRepayment()

Real nonParRepayment ( ) const

Definition at line 98 of file assetswap.hpp.

◆ bond()

const ext::shared_ptr< Bond > & bond ( ) const

Definition at line 99 of file assetswap.hpp.

◆ payBondCoupon()

bool payBondCoupon ( ) const

Definition at line 100 of file assetswap.hpp.

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◆ bondLeg()

const Leg & bondLeg ( ) const

Definition at line 101 of file assetswap.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 102 of file assetswap.hpp.

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◆ 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.

Definition at line 204 of file assetswap.cpp.

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◆ 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.

Definition at line 320 of file assetswap.cpp.

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◆ setupExpired()

void setupExpired ( ) const

overrideprivatevirtual

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

Reimplemented from Instrument.

Definition at line 313 of file assetswap.cpp.

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Member Data Documentation

◆ bond_

ext::shared_ptr<Bond> bond_

private

Definition at line 109 of file assetswap.hpp.

◆ bondCleanPrice_

Real bondCleanPrice_

private

Definition at line 110 of file assetswap.hpp.

◆ nonParRepayment_

Real nonParRepayment_

private

Definition at line 110 of file assetswap.hpp.

◆ spread_

Spread spread_

private

Definition at line 111 of file assetswap.hpp.

◆ parSwap_

bool parSwap_

private

Definition at line 112 of file assetswap.hpp.

◆ upfrontDate_

Date upfrontDate_

private

Definition at line 113 of file assetswap.hpp.

◆ fairSpread_

Spread fairSpread_

mutableprivate

Definition at line 115 of file assetswap.hpp.

◆ fairCleanPrice_

Real fairCleanPrice_

mutableprivate

Definition at line 116 of file assetswap.hpp.

◆ fairNonParRepayment_

Real fairNonParRepayment_

private

Definition at line 116 of file assetswap.hpp.

Classes

Public Member Functions

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ AssetSwap() [1/2]

◆ AssetSwap() [2/2]

Member Function Documentation

◆ fairSpread()

◆ floatingLegBPS()

◆ floatingLegNPV()

◆ fairCleanPrice()

◆ fairNonParRepayment()

◆ parSwap()

◆ spread()

◆ cleanPrice()

◆ nonParRepayment()

◆ bond()

◆ payBondCoupon()

◆ bondLeg()

◆ floatingLeg()

◆ setupArguments()

◆ fetchResults()

◆ setupExpired()

Member Data Documentation

◆ bond_

◆ bondCleanPrice_

◆ nonParRepayment_

◆ spread_

◆ parSwap_

◆ upfrontDate_

◆ fairSpread_

◆ fairCleanPrice_

◆ fairNonParRepayment_