Irregular swap: fixed vs floating leg. More...
#include <irregularswap.hpp>
Inheritance diagram for IrregularSwap:
Collaboration diagram for IrregularSwap:
Classes | |
| class | arguments |
| Arguments for irregular-swap calculation More... | |
| class | engine |
| class | results |
| Results from irregular-swap calculation More... | |
Public Member Functions | |
| IrregularSwap (Type type, const Leg &fixLeg, const Leg &floatLeg) | |
Inspectors | |
| Type | type () const |
| const Leg & | fixedLeg () const |
| const Leg & | floatingLeg () const |
| 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 () |
Results | |
| Type | type_ |
| Rate | fairRate_ |
| Spread | fairSpread_ |
| 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 |
| void | setupExpired () 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
Irregular swap: fixed vs floating leg.
Definition at line 41 of file irregularswap.hpp.
Constructor & Destructor Documentation
◆ IrregularSwap()
| IrregularSwap | ( | Type | type, |
| const Leg & | fixLeg, | ||
| const Leg & | floatLeg | ||
| ) |
Member Function Documentation
◆ type()
| Swap::Type type | ( | ) | const |
Definition at line 119 of file irregularswap.hpp.
◆ fixedLeg()
| const Leg & fixedLeg | ( | ) | const |
◆ floatingLeg()
| const Leg & floatingLeg | ( | ) | const |
◆ fixedLegBPS()
| Real fixedLegBPS | ( | ) | const |
◆ fixedLegNPV()
| Real fixedLegNPV | ( | ) | const |
◆ fairRate()
| Rate fairRate | ( | ) | const |
Definition at line 131 of file irregularswap.cpp.
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◆ floatingLegBPS()
| Real floatingLegBPS | ( | ) | const |
◆ floatingLegNPV()
| Real floatingLegNPV | ( | ) | const |
◆ fairSpread()
| Spread fairSpread | ( | ) | const |
Definition at line 137 of file irregularswap.cpp.
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◆ setupArguments()
|
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 69 of file irregularswap.cpp.
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◆ fetchResults()
|
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 174 of file irregularswap.cpp.
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◆ setupExpired()
|
overrideprivatevirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Definition at line 167 of file irregularswap.cpp.
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Member Data Documentation
◆ type_
|
private |
Definition at line 74 of file irregularswap.hpp.
◆ fairRate_
|
mutableprivate |
Definition at line 77 of file irregularswap.hpp.
◆ fairSpread_
|
mutableprivate |
Definition at line 78 of file irregularswap.hpp.