CrossCurrencySwap Class Reference

Cross currency swap. More...

#include <qle/instruments/currencyswap.hpp>

Inheritance diagram for CrossCurrencySwap:

Collaboration diagram for CrossCurrencySwap:

Public Member Functions
	CrossCurrencySwap (bool payFixed, Currency fixedCcy, std::vector< Real > fixedNominals, const Schedule &fixedSchedule, std::vector< Rate > fixedRates, const DayCounter &fixedDayCount, Currency floatCcy, std::vector< Real > floatNominals, const Schedule &floatSchedule, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, std::vector< Rate > floatSpreads, boost::optional< BusinessDayConvention > paymentConvention=boost::none, const bool isPhysicallySettled=true, const bool isResettable=false)
	CrossCurrencySwap (bool pay1, Currency ccy1, std::vector< Real > nominals1, const Schedule &schedule1, std::vector< Rate > fixedRates1, const DayCounter &fixedDayCount1, Currency ccy2, std::vector< Real > nominals2, const Schedule &schedule2, std::vector< Rate > fixedRates2, const DayCounter &fixedDayCount2, boost::optional< BusinessDayConvention > paymentConvention=boost::none, const bool isPhysicallySettled=true, const bool isResettable=false)
	CrossCurrencySwap (bool pay1, Currency ccy1, std::vector< Real > nominals1, const Schedule &schedule1, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex1, std::vector< Rate > spreads1, Currency ccy2, std::vector< Real > nominals2, const Schedule &schedule2, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex2, std::vector< Rate > spreads2, boost::optional< BusinessDayConvention > paymentConvention=boost::none, const bool isPhysicallySettled=true, const bool isResettable=false)
Public Member Functions inherited from CurrencySwap
void	alwaysForwardNotifications () override
void	deepUpdate () override
Date	startDate () const
Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
const Currency &	legCurrency (Size j) const
std::vector< Leg >	legs ()
std::vector< Currency >	currencies ()
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
	CurrencySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const bool isPhysicallySettled=true, const bool isResettable=false)

Additional Inherited Members
Protected Member Functions inherited from CurrencySwap
void	setupExpired () const override
	CurrencySwap (Size legs)
Protected Attributes inherited from CurrencySwap
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Currency >	currency_
bool	isPhysicallySettled_
bool	isResettable_
std::vector< Real >	legNPV_
std::vector< Real >	inCcyLegNPV_
std::vector< Real >	legBPS_
std::vector< Real >	inCcyLegBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_

Detailed Description

Cross currency swap.

Specialised CurrencySwap: Two currencies, variable notionals, rates and spreads; flavours fix/float, fix/fix, float/float

\ingroup instruments

Definition at line 188 of file currencyswap.hpp.

Constructor & Destructor Documentation

CrossCurrencySwap() [1/3]

CrossCurrencySwap	(	bool	payFixed,
		Currency	fixedCcy,
		std::vector< Real >	fixedNominals,
		const Schedule &	fixedSchedule,
		std::vector< Rate >	fixedRates,
		const DayCounter &	fixedDayCount,
		Currency	floatCcy,
		std::vector< Real >	floatNominals,
		const Schedule &	floatSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		std::vector< Rate >	floatSpreads,
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none,
		const bool	isPhysicallySettled = true,
		const bool	isResettable = false
	)

Definition at line 262 of file currencyswap.cpp.

    : CurrencySwap(4) {
 
    isPhysicallySettled_ = isPhysicallySettled;
    isResettable_ = isResettable;
 
    BusinessDayConvention convention;
    if (paymentConvention)
        convention = *paymentConvention;
    else
        convention = floatSchedule.businessDayConvention();
 
    // fixed leg
    currency_[0] = fixedCcy;
    payer_[0] = (payFixed ? -1 : +1);
    legs_[0] = FixedRateLeg(fixedSchedule)
                   .withNotionals(fixedNominals)
                   .withCouponRates(fixedRates, fixedDayCount)
                   .withPaymentAdjustment(convention);
 
    // add initial, interim and final notional flows
    currency_[1] = fixedCcy;
    payer_[1] = payer_[0];
    legs_[1].push_back(
        QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(-fixedNominals[0], fixedSchedule.dates().front())));
    QL_REQUIRE(fixedNominals.size() < fixedSchedule.size(), "too many fixed nominals provided");
    for (Size i = 1; i < fixedNominals.size(); i++) {
        Real flow = fixedNominals[i - 1] - fixedNominals[i];
        legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(flow, fixedSchedule.calendar().adjust(fixedSchedule[i], convention))));
    }
    if (fixedNominals.back() > 0)
        legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(
            fixedNominals.back(), fixedSchedule.calendar().adjust(fixedSchedule.dates().back(), convention))));
 
    // floating leg
    currency_[2] = floatCcy;
    payer_[2] = (payFixed ? +1 : -1);
    legs_[2] = IborLeg(floatSchedule, iborIndex)
                   .withNotionals(floatNominals)
                   .withPaymentDayCounter(iborIndex->dayCounter())
                   .withPaymentAdjustment(convention)
                   .withSpreads(floatSpreads);
    for (Leg::const_iterator i = legs_[2].begin(); i < legs_[2].end(); ++i)
        registerWith(*i);
 
    // add initial, interim and final notional flows
    currency_[3] = floatCcy;
    payer_[3] = payer_[2];
    legs_[3].push_back(
        QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(-floatNominals[0], floatSchedule.dates().front())));
    QL_REQUIRE(floatNominals.size() < floatSchedule.size(), "too many float nominals provided");
    for (Size i = 1; i < floatNominals.size(); i++) {
        Real flow = floatNominals[i - 1] - floatNominals[i];
        legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(flow, floatSchedule.calendar().adjust(floatSchedule[i], convention))));
    }
    if (floatNominals.back() > 0)
        legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(
            floatNominals.back(), floatSchedule.calendar().adjust(floatSchedule.dates().back(), convention))));
}

CrossCurrencySwap() [2/3]

CrossCurrencySwap	(	bool	pay1,
		Currency	ccy1,
		std::vector< Real >	nominals1,
		const Schedule &	schedule1,
		std::vector< Rate >	fixedRates1,
		const DayCounter &	fixedDayCount1,
		Currency	ccy2,
		std::vector< Real >	nominals2,
		const Schedule &	schedule2,
		std::vector< Rate >	fixedRates2,
		const DayCounter &	fixedDayCount2,
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none,
		const bool	isPhysicallySettled = true,
		const bool	isResettable = false
	)

CrossCurrencySwap() [3/3]

CrossCurrencySwap	(	bool	pay1,
		Currency	ccy1,
		std::vector< Real >	nominals1,
		const Schedule &	schedule1,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex1,
		std::vector< Rate >	spreads1,
		Currency	ccy2,
		std::vector< Real >	nominals2,
		const Schedule &	schedule2,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex2,
		std::vector< Rate >	spreads2,
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none,
		const bool	isPhysicallySettled = true,
		const bool	isResettable = false
	)

Definition at line 396 of file currencyswap.cpp.

    : CurrencySwap(4) {
 
    isPhysicallySettled_ = isPhysicallySettled;
    isResettable_ = isResettable;
 
    BusinessDayConvention convention;
    if (paymentConvention)
        convention = *paymentConvention;
    else
        convention = schedule1.businessDayConvention();
 
    // floating leg 1
    currency_[0] = ccy1;
    payer_[0] = (pay1 ? -1 : +1);
    legs_[0] = IborLeg(schedule1, iborIndex1)
                   .withNotionals(nominals1)
                   .withPaymentDayCounter(iborIndex1->dayCounter())
                   .withPaymentAdjustment(convention)
                   .withSpreads(spreads1);
    for (Leg::const_iterator i = legs_[0].begin(); i < legs_[0].end(); ++i)
        registerWith(*i);
 
    // add initial, interim and final notional flows
    currency_[1] = ccy1;
    payer_[1] = payer_[0];
    legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(-nominals1[0], schedule1.calendar().adjust(schedule1.dates().front(), convention))));
    QL_REQUIRE(nominals1.size() < schedule1.size(), "too many float nominals provided");
    for (Size i = 1; i < nominals1.size(); i++) {
        Real flow = nominals1[i - 1] - nominals1[i];
        legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(flow, schedule1.calendar().adjust(schedule1[i], convention))));
    }
    if (nominals1.back() > 0)
        legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(nominals1.back(), schedule1.calendar().adjust(schedule1.dates().back(), convention))));
 
    // floating leg 2
    currency_[2] = ccy2;
    payer_[2] = (pay1 ? +1 : -1);
    legs_[2] = IborLeg(schedule2, iborIndex2)
                   .withNotionals(nominals2)
                   .withPaymentDayCounter(iborIndex2->dayCounter())
                   .withPaymentAdjustment(convention)
                   .withSpreads(spreads2);
    for (Leg::const_iterator i = legs_[2].begin(); i < legs_[2].end(); ++i)
        registerWith(*i);
 
    // add initial, interim and final notional flows
    currency_[3] = ccy2;
    payer_[3] = payer_[2];
    legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(-nominals2[0], schedule2.calendar().adjust(schedule2.dates().front(), convention))));
    QL_REQUIRE(nominals2.size() < schedule2.size(), "too many float nominals provided");
    for (Size i = 1; i < nominals2.size(); i++) {
        Real flow = nominals2[i - 1] - nominals2[i];
        legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(flow, schedule2.calendar().adjust(schedule2[i], convention))));
    }
    if (nominals2.back() > 0)
        legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
            new SimpleCashFlow(nominals2.back(), schedule2.calendar().adjust(schedule2.dates().back(), convention))));
}