CreditLinkedSwap Class Reference

#include <qle/instruments/creditlinkedswap.hpp>

Inheritance diagram for CreditLinkedSwap:

Collaboration diagram for CreditLinkedSwap:

Classes
struct	arguments

Public Types
enum class	LegType { IndependentPayments , ContingentPayments , DefaultPayments , RecoveryPayments }
using	results = QuantLib::Instrument::results
using	engine = QuantLib::GenericEngine< arguments, results >

Public Member Functions
	CreditLinkedSwap (const std::vector< Leg > &legs, const std::vector< bool > &legPayers, const std::vector< LegType > &legTypes, const bool settlesAccrual, const Real fixedRecoveryRate, const QuantExt::CreditDefaultSwap::ProtectionPaymentTime &defaultPaymentTime, const Currency &currency)
bool	isExpired () const override
void	setupArguments (QuantLib::PricingEngine::arguments *) const override
Date	maturity () const

Private Attributes
std::vector< Leg >	legs_
std::vector< bool >	legPayers_
std::vector< LegType >	legTypes_
bool	settlesAccrual_
Real	fixedRecoveryRate_
QuantExt::CreditDefaultSwap::ProtectionPaymentTime	defaultPaymentTime_
Currency	currency_

Detailed Description

Definition at line 34 of file creditlinkedswap.hpp.

Member Typedef Documentation

results

using results = QuantLib::Instrument::results

Definition at line 55 of file creditlinkedswap.hpp.

engine

using engine = QuantLib::GenericEngine<arguments, results>

Definition at line 56 of file creditlinkedswap.hpp.

Member Enumeration Documentation

LegType

enum class LegType

strong

Enumerator
IndependentPayments
ContingentPayments
DefaultPayments
RecoveryPayments

Definition at line 36 of file creditlinkedswap.hpp.

{ IndependentPayments, ContingentPayments, DefaultPayments, RecoveryPayments };

Constructor & Destructor Documentation

CreditLinkedSwap()

CreditLinkedSwap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	legPayers,
		const std::vector< LegType > &	legTypes,
		const bool	settlesAccrual,
		const Real	fixedRecoveryRate,
		const QuantExt::CreditDefaultSwap::ProtectionPaymentTime &	defaultPaymentTime,
		const Currency &	currency
	)

Definition at line 25 of file creditlinkedswap.cpp.

    : legs_(legs), legPayers_(legPayers), legTypes_(legTypes), settlesAccrual_(settlesAccrual),
      fixedRecoveryRate_(fixedRecoveryRate), defaultPaymentTime_(defaultPaymentTime), currency_(currency) {
    QL_REQUIRE(legs_.size() == legPayers_.size(), "CreditLinkedSwap: legs size (" << legs_.size()
                                                                                  << ") must match legPayers size ("
                                                                                  << legPayers_.size() << ")");
    QL_REQUIRE(legs_.size() == legTypes_.size(), "CreditLinkedSwap: legs size (" << legs_.size()
                                                                                 << ") must match legTypes size ("
                                                                                 << legTypes_.size() << ")");
}

Member Function Documentation

isExpired()

bool isExpired ( ) const

override

Definition at line 40 of file creditlinkedswap.cpp.

{ return QuantLib::detail::simple_event(maturity()).hasOccurred(); }

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setupArguments()

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

override

Definition at line 42 of file creditlinkedswap.cpp.

                                                                                {
    CreditLinkedSwap::arguments* a = dynamic_cast<CreditLinkedSwap::arguments*>(args);
    QL_REQUIRE(a != nullptr, "CreditLinkedSwap::setupArguments(): wrong argument type");
    a->legs = legs_;
    a->legPayers = legPayers_;
    a->legTypes = legTypes_;
    a->settlesAccrual = settlesAccrual_;
    a->fixedRecoveryRate = fixedRecoveryRate_;
    a->defaultPaymentTime = defaultPaymentTime_;
    a->maturityDate = maturity();
    a->currency = currency_;
}

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maturity()

Date maturity

(

)

const

Definition at line 55 of file creditlinkedswap.cpp.

                                      {
    Date maturity = Date::minDate();
    for (auto const& l : legs_) {
        for (auto const& c : l) {
            maturity = std::max(maturity, c->date());
        }
    }
    return maturity;
}

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Member Data Documentation

legs_

std::vector<Leg> legs_

private

Definition at line 64 of file creditlinkedswap.hpp.

legPayers_

std::vector<bool> legPayers_

private

Definition at line 65 of file creditlinkedswap.hpp.

legTypes_

std::vector<LegType> legTypes_

private

Definition at line 66 of file creditlinkedswap.hpp.

settlesAccrual_

bool settlesAccrual_

private

Definition at line 67 of file creditlinkedswap.hpp.

fixedRecoveryRate_

Real fixedRecoveryRate_

private

Definition at line 68 of file creditlinkedswap.hpp.

defaultPaymentTime_

QuantExt::CreditDefaultSwap::ProtectionPaymentTime defaultPaymentTime_

private

Definition at line 69 of file creditlinkedswap.hpp.

currency_

Currency currency_

private

Definition at line 70 of file creditlinkedswap.hpp.