- QuantLib
- VanillaSwap
 
Plain-vanilla swap: fix vs floating leg. More...
#include <ql/instruments/vanillaswap.hpp>

| Classes | |
| class | arguments | 
| Arguments for simple swap calculation  More... | |
| class | results | 
| Results from simple swap calculation  More... | |
| Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } | 
| Public Member Functions | |
| VanillaSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread, const DayCounter &floatingDayCount, boost::optional< BusinessDayConvention > paymentConvention=boost::none) | |
| void | setupArguments (PricingEngine::arguments *args) const | 
| void | fetchResults (const PricingEngine::results *) const | 
| Inspectors | |
| Type | type () const | 
| Real | nominal () const | 
| const Schedule & | fixedSchedule () const | 
| Rate | fixedRate () const | 
| const DayCounter & | fixedDayCount () const | 
| const Schedule & | floatingSchedule () const | 
| const boost::shared_ptr < IborIndex > & | iborIndex () const | 
| Spread | spread () const | 
| const DayCounter & | floatingDayCount () const | 
| BusinessDayConvention | paymentConvention () const | 
| const Leg & | fixedLeg () const | 
| const Leg & | floatingLeg () const | 
| Results | |
| Real | fixedLegBPS () const | 
| Real | fixedLegNPV () const | 
| Rate | fairRate () const | 
| Real | floatingLegBPS () const | 
| Real | floatingLegNPV () const | 
| Spread | fairSpread () const | 
Plain-vanilla swap: fix vs floating leg.
If no payment convention is passed, the convention of the floating-rate schedule is used.
Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-rate and fair-spread calculation. This might not be what you want.| 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.