Risky asset-swap instrument. More...
#include <riskyassetswap.hpp>
Inheritance diagram for RiskyAssetSwap:
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Public Member Functions | |
| RiskyAssetSwap (bool fixedPayer, Real nominal, Schedule fixedSchedule, Schedule floatSchedule, DayCounter fixedDayCounter, DayCounter floatDayCounter, Rate spread, Rate recoveryRate_, Handle< YieldTermStructure > yieldTS, Handle< DefaultProbabilityTermStructure > defaultTS, Rate coupon=Null< Rate >()) | |
| Real | fairSpread () |
| Real | floatAnnuity () const |
| Real | nominal () const |
| Rate | spread () const |
| bool | fixedPayer () 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... | |
| virtual void | setupArguments (PricingEngine::arguments *) const |
| virtual void | fetchResults (const PricingEngine::results *) const |
| 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 |
| bool | isExpired () const override |
| returns whether the instrument might have value greater than zero. More... | |
| void | performCalculations () const override |
| Real | fixedAnnuity () const |
| Real | parCoupon () const |
| Real | recoveryValue () const |
| Real | riskyBondPrice () const |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| 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
Risky asset-swap instrument.
Definition at line 36 of file riskyassetswap.hpp.
Constructor & Destructor Documentation
◆ RiskyAssetSwap()
| RiskyAssetSwap | ( | bool | fixedPayer, |
| Real | nominal, | ||
| Schedule | fixedSchedule, | ||
| Schedule | floatSchedule, | ||
| DayCounter | fixedDayCounter, | ||
| DayCounter | floatDayCounter, | ||
| Rate | spread, | ||
| Rate | recoveryRate_, | ||
| Handle< YieldTermStructure > | yieldTS, | ||
| Handle< DefaultProbabilityTermStructure > | defaultTS, | ||
| Rate | coupon = Null<Rate>() |
||
| ) |
Member Function Documentation
◆ fairSpread()
| Real fairSpread | ( | ) |
◆ floatAnnuity()
| Real floatAnnuity | ( | ) | const |
Definition at line 82 of file riskyassetswap.cpp.
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◆ nominal()
| Real nominal | ( | ) | const |
Definition at line 54 of file riskyassetswap.hpp.
◆ spread()
| Rate spread | ( | ) | const |
Definition at line 55 of file riskyassetswap.hpp.
◆ fixedPayer()
| bool fixedPayer | ( | ) | const |
Definition at line 56 of file riskyassetswap.hpp.
◆ setupExpired()
|
overrideprivatevirtual |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
Definition at line 53 of file riskyassetswap.cpp.
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◆ isExpired()
|
overrideprivatevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 47 of file riskyassetswap.cpp.
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◆ performCalculations()
|
overrideprivatevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Implements LazyObject.
Definition at line 58 of file riskyassetswap.cpp.
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◆ fixedAnnuity()
|
private |
Definition at line 93 of file riskyassetswap.cpp.
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◆ parCoupon()
|
private |
Definition at line 104 of file riskyassetswap.cpp.
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◆ recoveryValue()
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private |
Definition at line 111 of file riskyassetswap.cpp.
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◆ riskyBondPrice()
|
private |
Definition at line 141 of file riskyassetswap.cpp.
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Member Data Documentation
◆ fixedAnnuity_
|
mutableprivate |
Definition at line 69 of file riskyassetswap.hpp.
◆ floatAnnuity_
|
mutableprivate |
Definition at line 70 of file riskyassetswap.hpp.
◆ parCoupon_
|
mutableprivate |
Definition at line 71 of file riskyassetswap.hpp.
◆ recoveryValue_
|
mutableprivate |
Definition at line 72 of file riskyassetswap.hpp.
◆ riskyBondPrice_
|
mutableprivate |
Definition at line 73 of file riskyassetswap.hpp.
◆ fixedPayer_
|
private |
Definition at line 76 of file riskyassetswap.hpp.
◆ nominal_
|
private |
Definition at line 77 of file riskyassetswap.hpp.
◆ fixedSchedule_
|
private |
Definition at line 78 of file riskyassetswap.hpp.
◆ floatSchedule_
|
private |
Definition at line 78 of file riskyassetswap.hpp.
◆ fixedDayCounter_
|
private |
Definition at line 79 of file riskyassetswap.hpp.
◆ floatDayCounter_
|
private |
Definition at line 79 of file riskyassetswap.hpp.
◆ spread_
|
private |
Definition at line 80 of file riskyassetswap.hpp.
◆ recoveryRate_
|
private |
Definition at line 81 of file riskyassetswap.hpp.
◆ yieldTS_
|
private |
Definition at line 82 of file riskyassetswap.hpp.
◆ defaultTS_
|
private |
Definition at line 83 of file riskyassetswap.hpp.
◆ coupon_
|
mutableprivate |
Definition at line 84 of file riskyassetswap.hpp.