QuantLib: NonstandardSwap Class Reference

nonstandard swap More...

#include <nonstandardswap.hpp>

Inheritance diagram for NonstandardSwap:

Collaboration diagram for NonstandardSwap:

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

class	engine

class	results
	Results from nonstandard swap calculation More...

Public Member Functions
	NonstandardSwap (const FixedVsFloatingSwap &fromVanilla)

	NonstandardSwap (Swap::Type type, std::vector< Real > fixedNominal, const std::vector< Real > &floatingNominal, Schedule fixedSchedule, std::vector< Real > fixedRate, DayCounter fixedDayCount, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Real gearing, Spread spread, DayCounter floatingDayCount, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt)

	NonstandardSwap (Swap::Type type, std::vector< Real > fixedNominal, std::vector< Real > floatingNominal, Schedule fixedSchedule, std::vector< Real > fixedRate, DayCounter fixedDayCount, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, std::vector< Real > gearing, std::vector< Spread > spread, DayCounter floatingDayCount, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt)

Inspectors
Swap::Type	type () const

const std::vector< Real > &	fixedNominal () const

const std::vector< Real > &	floatingNominal () const

const Schedule &	fixedSchedule () const

const std::vector< Real > &	fixedRate () const

const DayCounter &	fixedDayCount () const

const Schedule &	floatingSchedule () const

const ext::shared_ptr< IborIndex > &	iborIndex () const

Spread	spread () const

Real	gearing () const

const std::vector< Spread > &	spreads () const

const std::vector< Real > &	gearings () const

const DayCounter &	floatingDayCount () const

BusinessDayConvention	paymentConvention () 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
Swap::Type	type_

std::vector< Real >	fixedNominal_

std::vector< Real >	floatingNominal_

Schedule	fixedSchedule_

std::vector< Real >	fixedRate_

DayCounter	fixedDayCount_

Schedule	floatingSchedule_

ext::shared_ptr< IborIndex >	iborIndex_

std::vector< Spread >	spread_

std::vector< Real >	gearing_

bool	singleSpreadAndGearing_

DayCounter	floatingDayCount_

BusinessDayConvention	paymentConvention_

const bool	intermediateCapitalExchange_

const bool	finalCapitalExchange_

void	setupArguments (PricingEngine::arguments *args) const override

void	fetchResults (const PricingEngine::results *) const override

void	init ()

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

nonstandard swap

Definition at line 40 of file nonstandardswap.hpp.

Constructor & Destructor Documentation

◆ NonstandardSwap() [1/3]

NonstandardSwap ( const FixedVsFloatingSwap & fromVanilla )

explicit

Definition at line 36 of file nonstandardswap.cpp.

Here is the call graph for this function:

◆ NonstandardSwap() [2/3]

NonstandardSwap	(	Swap::Type	type,
		std::vector< Real >	fixedNominal,
		const std::vector< Real > &	floatingNominal,
		Schedule	fixedSchedule,
		std::vector< Real >	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	floatingSchedule,
		ext::shared_ptr< IborIndex >	iborIndex,
		Real	gearing,
		Spread	spread,
		DayCounter	floatingDayCount,
		bool	intermediateCapitalExchange = `false`,
		bool	finalCapitalExchange = `false`,
		ext::optional< BusinessDayConvention >	paymentConvention = `ext::nullopt`
	)

Definition at line 58 of file nonstandardswap.cpp.

Here is the call graph for this function:

◆ NonstandardSwap() [3/3]

NonstandardSwap	(	Swap::Type	type,
		std::vector< Real >	fixedNominal,
		std::vector< Real >	floatingNominal,
		Schedule	fixedSchedule,
		std::vector< Real >	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	floatingSchedule,
		ext::shared_ptr< IborIndex >	iborIndex,
		std::vector< Real >	gearing,
		std::vector< Spread >	spread,
		DayCounter	floatingDayCount,
		bool	intermediateCapitalExchange = `false`,
		bool	finalCapitalExchange = `false`,
		ext::optional< BusinessDayConvention >	paymentConvention = `ext::nullopt`
	)

Definition at line 89 of file nonstandardswap.cpp.

Here is the call graph for this function:

Member Function Documentation

◆ type()

Swap::Type type ( ) const

Definition at line 165 of file nonstandardswap.hpp.

◆ fixedNominal()

const std::vector< Real > & fixedNominal ( ) const

Definition at line 167 of file nonstandardswap.hpp.

◆ floatingNominal()

const std::vector< Real > & floatingNominal ( ) const

Definition at line 171 of file nonstandardswap.hpp.

◆ fixedSchedule()

const Schedule & fixedSchedule ( ) const

Definition at line 175 of file nonstandardswap.hpp.

◆ fixedRate()

const std::vector< Real > & fixedRate ( ) const

Definition at line 179 of file nonstandardswap.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( ) const

Definition at line 183 of file nonstandardswap.hpp.

◆ floatingSchedule()

const Schedule & floatingSchedule ( ) const

Definition at line 187 of file nonstandardswap.hpp.

◆ iborIndex()

const ext::shared_ptr< IborIndex > & iborIndex ( ) const

Definition at line 192 of file nonstandardswap.hpp.

Here is the caller graph for this function:

◆ spread()

Spread spread ( ) const

Definition at line 196 of file nonstandardswap.hpp.

◆ gearing()

Real gearing ( ) const

Definition at line 202 of file nonstandardswap.hpp.

◆ spreads()

const std::vector< Spread > & spreads ( ) const

Definition at line 208 of file nonstandardswap.hpp.

◆ gearings()

const std::vector< Real > & gearings ( ) const

Definition at line 212 of file nonstandardswap.hpp.

◆ floatingDayCount()

const DayCounter & floatingDayCount ( ) const

Definition at line 216 of file nonstandardswap.hpp.

◆ paymentConvention()

BusinessDayConvention paymentConvention ( ) const

Definition at line 220 of file nonstandardswap.hpp.

Here is the caller graph for this function:

◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 224 of file nonstandardswap.hpp.

Here is the caller graph for this function:

◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 226 of file nonstandardswap.hpp.

Here is the caller graph for this function:

◆ 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 230 of file nonstandardswap.cpp.

Here is the call graph for this function:

◆ 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 337 of file nonstandardswap.cpp.

Here is the call graph for this function:

◆ init()

void init ( )

private

Definition at line 119 of file nonstandardswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

◆ 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 335 of file nonstandardswap.cpp.

Here is the call graph for this function:

Member Data Documentation

◆ type_

Swap::Type type_

private

Definition at line 108 of file nonstandardswap.hpp.

◆ fixedNominal_

std::vector<Real> fixedNominal_

private

Definition at line 109 of file nonstandardswap.hpp.

◆ floatingNominal_

std::vector<Real> floatingNominal_

private

Definition at line 109 of file nonstandardswap.hpp.

◆ fixedSchedule_

Schedule fixedSchedule_

private

Definition at line 110 of file nonstandardswap.hpp.

◆ fixedRate_

std::vector<Real> fixedRate_

private

Definition at line 111 of file nonstandardswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 112 of file nonstandardswap.hpp.

◆ floatingSchedule_

Schedule floatingSchedule_

private

Definition at line 113 of file nonstandardswap.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 114 of file nonstandardswap.hpp.

◆ spread_

std::vector<Spread> spread_

private

Definition at line 115 of file nonstandardswap.hpp.

◆ gearing_

std::vector<Real> gearing_

private

Definition at line 116 of file nonstandardswap.hpp.

◆ singleSpreadAndGearing_

bool singleSpreadAndGearing_

private

Definition at line 117 of file nonstandardswap.hpp.

◆ floatingDayCount_

DayCounter floatingDayCount_

private

Definition at line 118 of file nonstandardswap.hpp.

◆ paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 119 of file nonstandardswap.hpp.

◆ intermediateCapitalExchange_

const bool intermediateCapitalExchange_

private

Definition at line 120 of file nonstandardswap.hpp.

◆ finalCapitalExchange_

const bool finalCapitalExchange_

private

Definition at line 121 of file nonstandardswap.hpp.

Classes

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ NonstandardSwap() [1/3]

◆ NonstandardSwap() [2/3]

◆ NonstandardSwap() [3/3]

Member Function Documentation

◆ type()

◆ fixedNominal()

◆ floatingNominal()

◆ fixedSchedule()

◆ fixedRate()

◆ fixedDayCount()

◆ floatingSchedule()

◆ iborIndex()

◆ spread()

◆ gearing()

◆ spreads()

◆ gearings()

◆ floatingDayCount()

◆ paymentConvention()

◆ fixedLeg()

◆ floatingLeg()

◆ setupArguments()

◆ fetchResults()

◆ init()

◆ setupExpired()

Member Data Documentation

◆ type_

◆ fixedNominal_

◆ floatingNominal_

◆ fixedSchedule_

◆ fixedRate_

◆ fixedDayCount_

◆ floatingSchedule_

◆ iborIndex_

◆ spread_

◆ gearing_

◆ singleSpreadAndGearing_

◆ floatingDayCount_

◆ paymentConvention_

◆ intermediateCapitalExchange_

◆ finalCapitalExchange_