CrossCcyFixFloatSwap Class Reference

#include <qle/instruments/crossccyfixfloatswap.hpp>

Inheritance diagram for CrossCcyFixFloatSwap:

Collaboration diagram for CrossCcyFixFloatSwap:

Classes
class	arguments
class	results

Public Types
enum	Type { Receiver = -1 , Payer = 1 }

Public Member Functions
Constructors
	CrossCcyFixFloatSwap (Type type, QuantLib::Real fixedNominal, const QuantLib::Currency &fixedCurrency, const QuantLib::Schedule &fixedSchedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixedDayCount, QuantLib::BusinessDayConvention fixedPaymentBdc, QuantLib::Natural fixedPaymentLag, const QuantLib::Calendar &fixedPaymentCalendar, QuantLib::Real floatNominal, const QuantLib::Currency &floatCurrency, const QuantLib::Schedule &floatSchedule, const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &floatIndex, QuantLib::Spread floatSpread, QuantLib::BusinessDayConvention floatPaymentBdc, QuantLib::Natural floatPaymentLag, const QuantLib::Calendar &floatPaymentCalendar)
	Detailed constructor. More...
Inspectors
Type	type () const
QuantLib::Real	fixedNominal () const
const QuantLib::Currency &	fixedCurrency () const
const QuantLib::Schedule &	fixedSchedule () const
QuantLib::Rate	fixedRate () const
const QuantLib::DayCounter &	fixedDayCount () const
QuantLib::BusinessDayConvention	fixedPaymentBdc () const
QuantLib::Natural	fixedPaymentLag () const
const QuantLib::Calendar &	fixedPaymentCalendar () const
QuantLib::Real	floatNominal () const
const QuantLib::Currency &	floatCurrency () const
const QuantLib::Schedule &	floatSchedule () const
const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	floatIndex () const
QuantLib::Rate	floatSpread () const
QuantLib::BusinessDayConvention	floatPaymentBdc () const
QuantLib::Natural	floatPaymentLag () const
const QuantLib::Calendar &	floatPaymentCalendar () const
Additional interface
QuantLib::Rate	fairFixedRate () const
QuantLib::Spread	fairSpread () const
Public Member Functions inherited from CrossCcySwap
const Currency &	legCurrency (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	npvDateDiscounts (Size j) const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
	CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy)
	First leg is paid and the second is received. More...
	CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currencies)

Instrument interface
Type	type_
QuantLib::Real	fixedNominal_
QuantLib::Currency	fixedCurrency_
QuantLib::Schedule	fixedSchedule_
QuantLib::Rate	fixedRate_
QuantLib::DayCounter	fixedDayCount_
QuantLib::BusinessDayConvention	fixedPaymentBdc_
QuantLib::Natural	fixedPaymentLag_
QuantLib::Calendar	fixedPaymentCalendar_
QuantLib::Real	floatNominal_
QuantLib::Currency	floatCurrency_
QuantLib::Schedule	floatSchedule_
QuantLib::ext::shared_ptr< QuantLib::IborIndex >	floatIndex_
QuantLib::Spread	floatSpread_
QuantLib::BusinessDayConvention	floatPaymentBdc_
QuantLib::Natural	floatPaymentLag_
QuantLib::Calendar	floatPaymentCalendar_
QuantLib::Rate	fairFixedRate_
QuantLib::Spread	fairSpread_
void	setupArguments (QuantLib::PricingEngine::arguments *a) const override
void	fetchResults (const QuantLib::PricingEngine::results *r) const override
void	setupExpired () const override

Additional Inherited Members
Protected Member Functions inherited from CrossCcySwap
void	setupExpired () const override
	CrossCcySwap (Size legs)
Protected Attributes inherited from CrossCcySwap
std::vector< Currency >	currencies_

Detailed Description

Cross currency fixed vs float swap

Definition at line 36 of file crossccyfixfloatswap.hpp.

Member Enumeration Documentation

Type

enum Type

Enumerator
Receiver
Payer

Definition at line 38 of file crossccyfixfloatswap.hpp.

{ Receiver = -1, Payer = 1 };

Constructor & Destructor Documentation

CrossCcyFixFloatSwap()

CrossCcyFixFloatSwap	(	Type	type,
		QuantLib::Real	fixedNominal,
		const QuantLib::Currency &	fixedCurrency,
		const QuantLib::Schedule &	fixedSchedule,
		QuantLib::Rate	fixedRate,
		const QuantLib::DayCounter &	fixedDayCount,
		QuantLib::BusinessDayConvention	fixedPaymentBdc,
		QuantLib::Natural	fixedPaymentLag,
		const QuantLib::Calendar &	fixedPaymentCalendar,
		QuantLib::Real	floatNominal,
		const QuantLib::Currency &	floatCurrency,
		const QuantLib::Schedule &	floatSchedule,
		const QuantLib::ext::shared_ptr< QuantLib::IborIndex > &	floatIndex,
		QuantLib::Spread	floatSpread,
		QuantLib::BusinessDayConvention	floatPaymentBdc,
		QuantLib::Natural	floatPaymentLag,
		const QuantLib::Calendar &	floatPaymentCalendar
	)

Detailed constructor.

Definition at line 28 of file crossccyfixfloatswap.cpp.

    : CrossCcySwap(2), type_(type), fixedNominal_(fixedNominal), fixedCurrency_(fixedCurrency),
      fixedSchedule_(fixedSchedule), fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
      fixedPaymentBdc_(fixedPaymentBdc), fixedPaymentLag_(fixedPaymentLag), fixedPaymentCalendar_(fixedPaymentCalendar),
      floatNominal_(floatNominal), floatCurrency_(floatCurrency), floatSchedule_(floatSchedule),
      floatIndex_(floatIndex), floatSpread_(floatSpread), floatPaymentBdc_(floatPaymentBdc),
      floatPaymentLag_(floatPaymentLag), floatPaymentCalendar_(floatPaymentCalendar) {
 
    // Build the float leg
    Leg floatLeg = IborLeg(floatSchedule_, floatIndex_)
                       .withNotionals(floatNominal_)
                       .withSpreads(floatSpread_)
                       .withPaymentAdjustment(floatPaymentBdc_)
                       .withPaymentLag(floatPaymentLag_)
                       .withPaymentCalendar(floatPaymentCalendar_);
 
    // Register with each floating rate coupon
    for (Leg::const_iterator it = floatLeg.begin(); it < floatLeg.end(); ++it)
        registerWith(*it);
 
    // Initial notional exchange
    Date aDate = floatSchedule_.dates().front();
    aDate = floatPaymentCalendar_.adjust(aDate, floatPaymentBdc_);
    QuantLib::ext::shared_ptr<CashFlow> aCashflow = QuantLib::ext::make_shared<SimpleCashFlow>(-floatNominal_, aDate);
    floatLeg.insert(floatLeg.begin(), aCashflow);
 
    // Final notional exchange
    aDate = floatLeg.back()->date();
    aCashflow = QuantLib::ext::make_shared<SimpleCashFlow>(floatNominal_, aDate);
    floatLeg.push_back(aCashflow);
 
    // Build the fixed rate leg
    Leg fixedLeg = FixedRateLeg(fixedSchedule_)
                       .withNotionals(fixedNominal_)
                       .withCouponRates(fixedRate_, fixedDayCount_)
                       .withPaymentAdjustment(fixedPaymentBdc_)
                       .withPaymentLag(fixedPaymentLag)
                       .withPaymentCalendar(fixedPaymentCalendar);
 
    // Initial notional exchange
    aDate = fixedSchedule_.dates().front();
    aDate = fixedPaymentCalendar_.adjust(aDate, fixedPaymentBdc_);
    aCashflow = QuantLib::ext::make_shared<SimpleCashFlow>(-fixedNominal_, aDate);
    fixedLeg.insert(fixedLeg.begin(), aCashflow);
 
    // Final notional exchange
    aDate = fixedLeg.back()->date();
    aCashflow = QuantLib::ext::make_shared<SimpleCashFlow>(fixedNominal_, aDate);
    fixedLeg.push_back(aCashflow);
 
    // Deriving from cross currency swap where:
    //   First leg should hold the pay flows
    //   Second leg should hold the receive flows
    payer_[0] = -1.0;
    payer_[1] = 1.0;
    switch (type_) {
    case Payer:
        legs_[0] = fixedLeg;
        currencies_[0] = fixedCurrency_;
        legs_[1] = floatLeg;
        currencies_[1] = floatCurrency_;
        break;
    case Receiver:
        legs_[1] = fixedLeg;
        currencies_[1] = fixedCurrency_;
        legs_[0] = floatLeg;
        currencies_[0] = floatCurrency_;
        break;
    default:
        QL_FAIL("Unknown cross currency fix float swap type");
    }
}

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Member Function Documentation

setupArguments()

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

override

Definition at line 106 of file crossccyfixfloatswap.cpp.

                                                                         {
    CrossCcySwap::setupArguments(a);
    if (CrossCcyFixFloatSwap::arguments* args = dynamic_cast<CrossCcyFixFloatSwap::arguments*>(a)) {
        args->fixedRate = fixedRate_;
        args->spread = floatSpread_;
    }
}

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fetchResults()

void fetchResults ( const QuantLib::PricingEngine::results *  r ) const

override

Definition at line 114 of file crossccyfixfloatswap.cpp.

                                                                           {
 
    CrossCcySwap::fetchResults(r);
 
    // Depending on the pricing engine used, we may have CrossCcyFixFloatSwap::results
    if (const CrossCcyFixFloatSwap::results* res = dynamic_cast<const CrossCcyFixFloatSwap::results*>(r)) {
        // If we have CrossCcyFixFloatSwap::results from the pricing engine
        fairFixedRate_ = res->fairFixedRate;
        fairSpread_ = res->fairSpread;
    } else {
        // If not, set them to Null to indicate a calculation is needed below
        fairFixedRate_ = Null<Rate>();
        fairSpread_ = Null<Spread>();
    }
 
    // Calculate fair rate and spread if they are still Null here
    static Spread basisPoint = 1.0e-4;
 
    Size idxFixed = type_ == Payer ? 0 : 1;
    if (fairFixedRate_ == Null<Rate>() && legBPS_[idxFixed] != Null<Real>())
        fairFixedRate_ = fixedRate_ - NPV_ / (legBPS_[idxFixed] / basisPoint);
 
    Size idxFloat = type_ == Payer ? 1 : 0;
    if (fairSpread_ == Null<Spread>() && legBPS_[idxFloat] != Null<Real>())
        fairSpread_ = floatSpread_ - NPV_ / (legBPS_[idxFloat] / basisPoint);
}

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type()

Type type

(

)

const

Definition at line 64 of file crossccyfixfloatswap.hpp.

{ return type_; }

fixedNominal()

QuantLib::Real fixedNominal

(

)

const

Definition at line 66 of file crossccyfixfloatswap.hpp.

{ return fixedNominal_; }

fixedCurrency()

const QuantLib::Currency & fixedCurrency

(

)

const

Definition at line 67 of file crossccyfixfloatswap.hpp.

{ return fixedCurrency_; }

fixedSchedule()

const QuantLib::Schedule & fixedSchedule

(

)

const

Definition at line 68 of file crossccyfixfloatswap.hpp.

{ return fixedSchedule_; }

fixedRate()

QuantLib::Rate fixedRate

(

)

const

Definition at line 69 of file crossccyfixfloatswap.hpp.

{ return fixedRate_; }

fixedDayCount()

const QuantLib::DayCounter & fixedDayCount

(

)

const

Definition at line 70 of file crossccyfixfloatswap.hpp.

{ return fixedDayCount_; }

fixedPaymentBdc()

QuantLib::BusinessDayConvention fixedPaymentBdc

(

)

const

Definition at line 71 of file crossccyfixfloatswap.hpp.

{ return fixedPaymentBdc_; }

fixedPaymentLag()

QuantLib::Natural fixedPaymentLag

(

)

const

Definition at line 72 of file crossccyfixfloatswap.hpp.

{ return fixedPaymentLag_; }

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fixedPaymentCalendar()

const QuantLib::Calendar & fixedPaymentCalendar

(

)

const

Definition at line 73 of file crossccyfixfloatswap.hpp.

{ return fixedPaymentCalendar_; }

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floatNominal()

QuantLib::Real floatNominal

(

)

const

Definition at line 75 of file crossccyfixfloatswap.hpp.

{ return floatNominal_; }

floatCurrency()

const QuantLib::Currency & floatCurrency

(

)

const

Definition at line 76 of file crossccyfixfloatswap.hpp.

{ return floatCurrency_; }

floatSchedule()

const QuantLib::Schedule & floatSchedule

(

)

const

Definition at line 77 of file crossccyfixfloatswap.hpp.

{ return floatSchedule_; }

floatIndex()

const QuantLib::ext::shared_ptr< QuantLib::IborIndex > & floatIndex

(

)

const

Definition at line 78 of file crossccyfixfloatswap.hpp.

{ return floatIndex_; }

floatSpread()

QuantLib::Rate floatSpread

(

)

const

Definition at line 79 of file crossccyfixfloatswap.hpp.

{ return floatSpread_; }

floatPaymentBdc()

QuantLib::BusinessDayConvention floatPaymentBdc

(

)

const

Definition at line 80 of file crossccyfixfloatswap.hpp.

{ return floatPaymentBdc_; }

floatPaymentLag()

QuantLib::Natural floatPaymentLag

(

)

const

Definition at line 81 of file crossccyfixfloatswap.hpp.

{ return floatPaymentLag_; }

floatPaymentCalendar()

const QuantLib::Calendar & floatPaymentCalendar

(

)

const

Definition at line 82 of file crossccyfixfloatswap.hpp.

{ return floatPaymentCalendar_; }

fairFixedRate()

QuantLib::Rate fairFixedRate

(

)

const

Definition at line 87 of file crossccyfixfloatswap.hpp.

                                       {
        calculate();
        QL_REQUIRE(fairFixedRate_ != QuantLib::Null<QuantLib::Real>(), "Fair fixed rate is not available");
        return fairFixedRate_;
    }

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fairSpread()

QuantLib::Spread fairSpread

(

)

const

Definition at line 93 of file crossccyfixfloatswap.hpp.

                                      {
        calculate();
        QL_REQUIRE(fairSpread_ != QuantLib::Null<QuantLib::Real>(), "Fair spread is not available");
        return fairSpread_;
    }

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setupExpired()

void setupExpired ( ) const

overrideprotected

Definition at line 141 of file crossccyfixfloatswap.cpp.

                                              {
    CrossCcySwap::setupExpired();
    fairFixedRate_ = Null<Rate>();
    fairSpread_ = Null<Spread>();
}

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Member Data Documentation

type_

Type type_

private

Definition at line 107 of file crossccyfixfloatswap.hpp.

fixedNominal_

QuantLib::Real fixedNominal_

private

Definition at line 109 of file crossccyfixfloatswap.hpp.

fixedCurrency_

QuantLib::Currency fixedCurrency_

private

Definition at line 110 of file crossccyfixfloatswap.hpp.

fixedSchedule_

QuantLib::Schedule fixedSchedule_

private

Definition at line 111 of file crossccyfixfloatswap.hpp.

fixedRate_

QuantLib::Rate fixedRate_

private

Definition at line 112 of file crossccyfixfloatswap.hpp.

fixedDayCount_

QuantLib::DayCounter fixedDayCount_

private

Definition at line 113 of file crossccyfixfloatswap.hpp.

fixedPaymentBdc_

QuantLib::BusinessDayConvention fixedPaymentBdc_

private

Definition at line 114 of file crossccyfixfloatswap.hpp.

fixedPaymentLag_

QuantLib::Natural fixedPaymentLag_

private

Definition at line 115 of file crossccyfixfloatswap.hpp.

fixedPaymentCalendar_

QuantLib::Calendar fixedPaymentCalendar_

private

Definition at line 116 of file crossccyfixfloatswap.hpp.

floatNominal_

QuantLib::Real floatNominal_

private

Definition at line 118 of file crossccyfixfloatswap.hpp.

floatCurrency_

QuantLib::Currency floatCurrency_

private

Definition at line 119 of file crossccyfixfloatswap.hpp.

floatSchedule_

QuantLib::Schedule floatSchedule_

private

Definition at line 120 of file crossccyfixfloatswap.hpp.

floatIndex_

QuantLib::ext::shared_ptr<QuantLib::IborIndex> floatIndex_

private

Definition at line 121 of file crossccyfixfloatswap.hpp.

floatSpread_

QuantLib::Spread floatSpread_

private

Definition at line 122 of file crossccyfixfloatswap.hpp.

floatPaymentBdc_

QuantLib::BusinessDayConvention floatPaymentBdc_

private

Definition at line 123 of file crossccyfixfloatswap.hpp.

floatPaymentLag_

QuantLib::Natural floatPaymentLag_

private

Definition at line 124 of file crossccyfixfloatswap.hpp.

floatPaymentCalendar_

QuantLib::Calendar floatPaymentCalendar_

private

Definition at line 125 of file crossccyfixfloatswap.hpp.

fairFixedRate_

QuantLib::Rate fairFixedRate_

mutableprivate

Definition at line 127 of file crossccyfixfloatswap.hpp.

fairSpread_

QuantLib::Spread fairSpread_

mutableprivate

Definition at line 128 of file crossccyfixfloatswap.hpp.