- QuantLib
- AssetSwap
 
Bullet bond vs Libor swap. More...
#include <ql/instruments/assetswap.hpp>

| Classes | |
| class | arguments | 
| Arguments for asset swap calculation  More... | |
| class | results | 
| Results from simple swap calculation  More... | |
| Public Member Functions | |
| AssetSwap (bool payBondCoupon, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true) | |
| AssetSwap (bool parAssetSwap, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const boost::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 boost::shared_ptr< Bond > & | bond () const | 
| bool | payBondCoupon () const | 
| const Leg & | bondLeg () const | 
| const Leg & | floatingLeg () const | 
| void | setupArguments (PricingEngine::arguments *args) const | 
| void | fetchResults (const PricingEngine::results *) const | 
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
| void setupArguments | ( | PricingEngine::arguments * | ) | const  [virtual] | 
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 Swap.
| void fetchResults | ( | const PricingEngine::results * | r | ) | const  [virtual] | 
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 Swap.