CrossCcySwap Class Reference

Cross currency swap. More...

#include <qle/instruments/crossccyswap.hpp>

Inheritance diagram for CrossCcySwap:

Collaboration diagram for CrossCcySwap:

Classes
class	arguments
class	engine
class	results

Public Member Functions
Additional interface
const Currency &	legCurrency (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	npvDateDiscounts (Size j) const

Instrument interface
std::vector< Currency >	currencies_
std::vector< Real >	inCcyLegNPV_
std::vector< Real >	inCcyLegBPS_
std::vector< DiscountFactor >	npvDateDiscounts_
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Constructors
	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)
	CrossCcySwap (Size legs)

Detailed Description

Cross currency swap.

The first leg holds the pay currency cashflows and second leg holds the receive currency cashflows.

    \ingroup instruments

Definition at line 40 of file crossccyswap.hpp.

Constructor & Destructor Documentation

CrossCcySwap() [1/3]

CrossCcySwap	(	const Leg &	firstLeg,
		const Currency &	firstLegCcy,
		const Leg &	secondLeg,
		const Currency &	secondLegCcy
	)

First leg is paid and the second is received.

Definition at line 23 of file crossccyswap.cpp.

    : Swap(firstLeg, secondLeg) {
    currencies_.resize(2);
    currencies_[0] = firstLegCcy;
    currencies_[1] = secondLegCcy;
}

CrossCcySwap() [2/3]

CrossCcySwap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer,
		const std::vector< Currency > &	currencies
	)

Multi leg constructor.

Definition at line 31 of file crossccyswap.cpp.

    : Swap(legs, payer), currencies_(currencies) {
    QL_REQUIRE(payer.size() == currencies_.size(), "Size mismatch "
                                                   "between payer ("
                                                       << payer.size() << ") and currencies (" << currencies_.size()
                                                       << ")");
}

CrossCcySwap() [3/3]

CrossCcySwap ( Size  legs )

protected

This constructor can be used by derived classes that will build their legs themselves.

Definition at line 40 of file crossccyswap.cpp.

    : Swap(legs), currencies_(legs), inCcyLegNPV_(legs, 0.0), inCcyLegBPS_(legs, 0.0), npvDateDiscounts_(legs, 0.0) {}

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 43 of file crossccyswap.cpp.

                                                                    {
 
    Swap::setupArguments(args);
 
    CrossCcySwap::arguments* arguments = dynamic_cast<CrossCcySwap::arguments*>(args);
    QL_REQUIRE(arguments, "The arguments are not of type "
                          "cross currency swap");
 
    arguments->currencies = currencies_;
}

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fetchResults()

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

override

Definition at line 54 of file crossccyswap.cpp.

                                                                   {
 
    Swap::fetchResults(r);
 
    const CrossCcySwap::results* results = dynamic_cast<const CrossCcySwap::results*>(r);
    QL_REQUIRE(results, "The results are not of type "
                        "cross currency swap");
 
    if (!results->inCcyLegNPV.empty()) {
        QL_REQUIRE(results->inCcyLegNPV.size() == inCcyLegNPV_.size(),
                   "Wrong number of in currency leg NPVs returned by engine");
        inCcyLegNPV_ = results->inCcyLegNPV;
    } else {
        std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), Null<Real>());
    }
 
    if (!results->inCcyLegBPS.empty()) {
        QL_REQUIRE(results->inCcyLegBPS.size() == inCcyLegBPS_.size(),
                   "Wrong number of in currency leg BPSs returned by engine");
        inCcyLegBPS_ = results->inCcyLegBPS;
    } else {
        std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), Null<Real>());
    }
 
    if (!results->npvDateDiscounts.empty()) {
        QL_REQUIRE(results->npvDateDiscounts.size() == npvDateDiscounts_.size(),
                   "Wrong number of npv date discounts returned by engine");
        npvDateDiscounts_ = results->npvDateDiscounts;
    } else {
        std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), Null<DiscountFactor>());
    }
}

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legCurrency()

const Currency & legCurrency

(

Size

j

)

const

Definition at line 59 of file crossccyswap.hpp.

                                              {
        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
        return currencies_[j];
    }

inCcyLegBPS()

Real inCcyLegBPS

(

Size

j

)

const

Definition at line 63 of file crossccyswap.hpp.

                                   {
        QL_REQUIRE(j < legs_.size(), "leg# " << j << " doesn't exist!");
        calculate();
        return inCcyLegBPS_[j];
    }

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inCcyLegNPV()

Real inCcyLegNPV

(

Size

j

)

const

Definition at line 68 of file crossccyswap.hpp.

                                   {
        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
        calculate();
        return inCcyLegNPV_[j];
    }

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npvDateDiscounts()

DiscountFactor npvDateDiscounts

(

Size

j

)

const

Definition at line 73 of file crossccyswap.hpp.

                                                  {
        QL_REQUIRE(j < legs_.size(), "leg #" << j << " doesn't exist!");
        calculate();
        return npvDateDiscounts_[j];
    }

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setupExpired()

void setupExpired ( ) const

overrideprotected

Definition at line 87 of file crossccyswap.cpp.

                                      {
    Swap::setupExpired();
    std::fill(inCcyLegBPS_.begin(), inCcyLegBPS_.end(), 0.0);
    std::fill(inCcyLegNPV_.begin(), inCcyLegNPV_.end(), 0.0);
    std::fill(npvDateDiscounts_.begin(), npvDateDiscounts_.end(), 0.0);
}

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Member Data Documentation

currencies_

std::vector<Currency> currencies_

protected

Definition at line 92 of file crossccyswap.hpp.

inCcyLegNPV_

std::vector<Real> inCcyLegNPV_

mutableprivate

Definition at line 95 of file crossccyswap.hpp.

inCcyLegBPS_

std::vector<Real> inCcyLegBPS_

mutableprivate

Definition at line 96 of file crossccyswap.hpp.

npvDateDiscounts_

std::vector<DiscountFactor> npvDateDiscounts_

mutableprivate

Definition at line 97 of file crossccyswap.hpp.