FixedBMASwap Class Reference

swap paying a fixed rate against BMA coupons More...

#include <qle/instruments/fixedbmaswap.hpp>

Inheritance diagram for FixedBMASwap:

Collaboration diagram for FixedBMASwap:

Classes
class	engine
class	results

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

Public Member Functions
	FixedBMASwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &bmaSchedule, const QuantLib::ext::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount)
Inspectors
Real	fixedRate () const
Real	nominal () const
Type	type () const
	"payer" or "receiver" refer to the BMA leg More...
const Leg &	bmaLeg () const
const Leg &	fixedLeg () const

Results
Type	type_
Real	nominal_
Rate	fixedRate_
Rate	fairRate_
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Rate	fairRate () const
Real	bmaLegBPS () const
Real	bmaLegNPV () const
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

swap paying a fixed rate against BMA coupons

Definition at line 35 of file fixedbmaswap.hpp.

Member Enumeration Documentation

Type

enum Type

Enumerator
Receiver
Payer

Definition at line 39 of file fixedbmaswap.hpp.

{ Receiver = -1, Payer = 1 };

Constructor & Destructor Documentation

FixedBMASwap()

FixedBMASwap	(	Type	type,
		Real	nominal,
		const Schedule &	fixedSchedule,
		Rate	fixedRate,
		const DayCounter &	fixedDayCount,
		const Schedule &	bmaSchedule,
		const QuantLib::ext::shared_ptr< BMAIndex > &	bmaIndex,
		const DayCounter &	bmaDayCount
	)

Definition at line 35 of file fixedbmaswap.cpp.

    : Swap(2), type_(type), nominal_(nominal), fixedRate_(fixedRate) {
 
    legs_[0] = FixedRateLeg(fixedSchedule)
                   .withNotionals(nominal)
                   .withCouponRates(fixedRate, fixedDayCount)
                   .withPaymentAdjustment(fixedSchedule.businessDayConvention());
 
    legs_[1] = AverageBMALeg(bmaSchedule, bmaIndex)
                   .withNotionals(nominal)
                   .withPaymentDayCounter(bmaDayCount)
                   .withPaymentAdjustment(bmaSchedule.businessDayConvention());
 
    for (Size j = 0; j < 2; ++j) {
        for (Leg::iterator i = legs_[j].begin(); i != legs_[j].end(); ++i)
            registerWith(*i);
    }
 
    switch (type_) {
    case Payer:
        payer_[0] = +1.0;
        payer_[1] = -1.0;
        break;
    case Receiver:
        payer_[0] = -1.0;
        payer_[1] = +1.0;
        break;
    default:
        QL_FAIL("Unknown BMA-swap type");
    }
}

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Member Function Documentation

fixedRate()

Real fixedRate

(

)

const

Definition at line 72 of file fixedbmaswap.cpp.

{ return fixedRate_; }

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nominal()

Real nominal

(

)

const

Definition at line 74 of file fixedbmaswap.cpp.

{ return nominal_; }

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type()

FixedBMASwap::Type type

(

)

const

"payer" or "receiver" refer to the BMA leg

Definition at line 76 of file fixedbmaswap.cpp.

{ return type_; }

bmaLeg()

const Leg & bmaLeg

(

)

const

Definition at line 80 of file fixedbmaswap.cpp.

{ return legs_[1]; }

fixedLeg()

const Leg & fixedLeg

(

)

const

Definition at line 78 of file fixedbmaswap.cpp.

{ return legs_[0]; }

fixedLegBPS()

Real fixedLegBPS

(

)

const

Definition at line 82 of file fixedbmaswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");
    return legBPS_[0];
}

fixedLegNPV()

Real fixedLegNPV

(

)

const

Definition at line 88 of file fixedbmaswap.cpp.

                                     {
    calculate();
    QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
    return legNPV_[0];
}

fairRate()

Rate fairRate

(

)

const

Definition at line 94 of file fixedbmaswap.cpp.

                                  {
    calculate();
    QL_REQUIRE(fairRate_ != Null<Rate>(), "result not available");
    return fairRate_;
}

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bmaLegBPS()

Real bmaLegBPS

(

)

const

Definition at line 100 of file fixedbmaswap.cpp.

                                   {
    calculate();
    QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available");
    return legBPS_[1];
}

bmaLegNPV()

Real bmaLegNPV

(

)

const

Definition at line 106 of file fixedbmaswap.cpp.

                                   {
    calculate();
    QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
    return legNPV_[1];
}

fetchResults()

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

override

Definition at line 112 of file fixedbmaswap.cpp.

                                                                   {
    static const Spread basisPoint = 1.0e-4;
 
    Swap::fetchResults(r);
 
    const FixedBMASwap::results* results = dynamic_cast<const FixedBMASwap::results*>(r);
    if (results) { // might be a swap engine, so no error is thrown
        fairRate_ = results->fairRate;
    } else {
        fairRate_ = Null<Rate>();
    }
    if (fairRate_ == Null<Rate>()) {
        // calculate it from other results
        if (legBPS_[0] != Null<Real>())
            fairRate_ = fixedRate_ - NPV_ / (legBPS_[0] / basisPoint);
    }
}

Member Data Documentation

type_

Type type_

private

Definition at line 70 of file fixedbmaswap.hpp.

nominal_

Real nominal_

private

Definition at line 71 of file fixedbmaswap.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 72 of file fixedbmaswap.hpp.

fairRate_

Rate fairRate_

mutableprivate

Definition at line 74 of file fixedbmaswap.hpp.