Interest rate swap. More...
#include <swap.hpp>
Inheritance diagram for Swap:
Collaboration diagram for Swap:
Classes | |
| class | arguments |
| class | engine |
| class | results |
Public Types | |
| enum | Type { Receiver = -1 , Payer = 1 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Public Member Functions | |
Observable interface | |
| void | deepUpdate () override |
Additional interface | |
| 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 |
| 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 () |
Instrument interface | |
| 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_ |
| 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 |
| void | setupExpired () const override |
Constructors | |
| Swap (const Leg &firstLeg, const Leg &secondLeg) | |
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
| Swap (Size legs) | |
Additional Inherited Members | |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| 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
Interest rate swap.
The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.
Member Enumeration Documentation
◆ Type
| enum Type |
Constructor & Destructor Documentation
◆ Swap() [1/3]
◆ Swap() [2/3]
◆ Swap() [3/3]
Member Function Documentation
◆ deepUpdate()
|
overridevirtual |
This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable
Reimplemented from Observer.
Definition at line 162 of file swap.cpp.
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◆ isExpired()
|
overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 68 of file swap.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.
Reimplemented in YearOnYearInflationSwap.
Definition at line 87 of file swap.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.
Reimplemented in YearOnYearInflationSwap.
Definition at line 95 of file swap.cpp.
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◆ numberOfLegs()
◆ legs()
◆ startDate()
|
virtual |
Reimplemented in ZeroCouponInflationSwap, and ZeroCouponSwap.
Definition at line 146 of file swap.cpp.
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◆ maturityDate()
|
virtual |
Reimplemented in ZeroCouponInflationSwap, and ZeroCouponSwap.
Definition at line 154 of file swap.cpp.
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◆ legBPS()
◆ legNPV()
◆ startDiscounts()
| DiscountFactor startDiscounts | ( | Size | j | ) | const |
◆ endDiscounts()
| DiscountFactor endDiscounts | ( | Size | j | ) | const |
◆ npvDateDiscount()
| DiscountFactor npvDateDiscount | ( | ) | const |
◆ leg()
◆ payer()
◆ setupExpired()
|
overrideprotectedvirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Reimplemented in YearOnYearInflationSwap.
Definition at line 78 of file swap.cpp.
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Member Data Documentation
◆ legs_
◆ payer_
◆ legNPV_
◆ legBPS_
◆ startDiscounts_
|
mutableprotected |
◆ endDiscounts_
|
protected |
◆ npvDateDiscount_
|
mutableprotected |