OvernightIndexedCrossCcyBasisSwap Class Reference

Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More...

#include <qle/instruments/oiccbasisswap.hpp>

Inheritance diagram for OvernightIndexedCrossCcyBasisSwap:

Collaboration diagram for OvernightIndexedCrossCcyBasisSwap:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	OvernightIndexedCrossCcyBasisSwap (Real payNominal, Currency payCurrency, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &payIndex, Real paySpread, Real recNominal, Currency recCurrency, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &recIndex, Real recSpread)
Inspectors
Real	payNominal () const
Currency	payCurrency () const
const Schedule &	paySchedule ()
const QuantLib::ext::shared_ptr< OvernightIndex > &	payIndex ()
Real	paySpread () const
Real	recNominal () const
Currency	recCurrency () const
const Schedule &	recSchedule ()
const QuantLib::ext::shared_ptr< OvernightIndex > &	recIndex ()
Real	recSpread () const
const Leg &	payLeg () const
const Leg &	recLeg () const

Results
Real	payNominal_
Real	recNominal_
Currency	payCurrency_
Currency	recCurrency_
Schedule	paySchedule_
Schedule	recSchedule_
QuantLib::ext::shared_ptr< OvernightIndex >	payIndex_
QuantLib::ext::shared_ptr< OvernightIndex >	recIndex_
Spread	paySpread_
Spread	recSpread_
std::vector< Currency >	currency_
Real	fairPayLegSpread_
Real	fairRecLegSpread_
Real	payLegBPS () const
Real	payLegNPV () const
Real	fairPayLegSpread () const
Real	recLegBPS () const
Real	recLegNPV () const
Spread	fairRecLegSpread () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
void	initialize ()

Detailed Description

Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2.

Definition at line 44 of file oiccbasisswap.hpp.

Constructor & Destructor Documentation

OvernightIndexedCrossCcyBasisSwap()

OvernightIndexedCrossCcyBasisSwap	(	Real	payNominal,
		Currency	payCurrency,
		const Schedule &	paySchedule,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	payIndex,
		Real	paySpread,
		Real	recNominal,
		Currency	recCurrency,
		const Schedule &	recSchedule,
		const QuantLib::ext::shared_ptr< OvernightIndex > &	recIndex,
		Real	recSpread
	)

Definition at line 25 of file oiccbasisswap.cpp.

    : Swap(2), payNominal_(payNominal), recNominal_(recNominal), payCurrency_(payCurrency), recCurrency_(recCurrency),
      paySchedule_(paySchedule), recSchedule_(recSchedule), payIndex_(payIndex), recIndex_(recIndex),
      paySpread_(paySpread), recSpread_(recSpread), currency_(2) {
 
    registerWith(payIndex);
    registerWith(recIndex);
    initialize();
}

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Member Function Documentation

payNominal()

Real payNominal

(

)

const

Definition at line 100 of file oiccbasisswap.hpp.

{ return payNominal_; }

payCurrency()

Currency payCurrency

(

)

const

Definition at line 104 of file oiccbasisswap.hpp.

{ return payCurrency_; }

paySchedule()

const Schedule & paySchedule

(

)

Definition at line 57 of file oiccbasisswap.hpp.

{ return paySchedule_; }

payIndex()

const QuantLib::ext::shared_ptr< OvernightIndex > & payIndex

(

)

Definition at line 58 of file oiccbasisswap.hpp.

{ return payIndex_; }

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paySpread()

Real paySpread

(

)

const

Definition at line 108 of file oiccbasisswap.hpp.

{ return paySpread_; }

recNominal()

Real recNominal

(

)

const

Definition at line 102 of file oiccbasisswap.hpp.

{ return recNominal_; }

recCurrency()

Currency recCurrency

(

)

const

Definition at line 106 of file oiccbasisswap.hpp.

{ return recCurrency_; }

recSchedule()

const Schedule & recSchedule

(

)

Definition at line 63 of file oiccbasisswap.hpp.

{ return recSchedule_; }

recIndex()

const QuantLib::ext::shared_ptr< OvernightIndex > & recIndex

(

)

Definition at line 64 of file oiccbasisswap.hpp.

{ return recIndex_; }

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recSpread()

Real recSpread

(

)

const

Definition at line 110 of file oiccbasisswap.hpp.

{ return recSpread_; }

payLeg()

const Leg & payLeg

(

)

const

Definition at line 67 of file oiccbasisswap.hpp.

{ return legs_[0]; }

recLeg()

const Leg & recLeg

(

)

const

Definition at line 68 of file oiccbasisswap.hpp.

{ return legs_[1]; }

payLegBPS()

Real payLegBPS

(

)

const

Definition at line 73 of file oiccbasisswap.cpp.

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

payLegNPV()

Real payLegNPV

(

)

const

Definition at line 85 of file oiccbasisswap.cpp.

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

fairPayLegSpread()

Spread fairPayLegSpread

(

)

const

Definition at line 61 of file oiccbasisswap.cpp.

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

recLegBPS()

Real recLegBPS

(

)

const

Definition at line 79 of file oiccbasisswap.cpp.

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

recLegNPV()

Real recLegNPV

(

)

const

Definition at line 91 of file oiccbasisswap.cpp.

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

fairRecLegSpread()

Spread fairRecLegSpread

(

)

const

Definition at line 67 of file oiccbasisswap.cpp.

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

setupArguments()

void setupArguments ( PricingEngine::arguments *  args ) const

override

Definition at line 97 of file oiccbasisswap.cpp.

                                                                                         {
    Swap::setupArguments(args);
 
    OvernightIndexedCrossCcyBasisSwap::arguments* arguments =
        dynamic_cast<OvernightIndexedCrossCcyBasisSwap::arguments*>(args);
    QL_REQUIRE(arguments != 0, "wrong argument type");
 
    arguments->currency = currency_;
    arguments->paySpread = paySpread_;
    arguments->recSpread = recSpread_;
}

fetchResults()

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

override

Definition at line 109 of file oiccbasisswap.cpp.

                                                                                        {
    Swap::fetchResults(r);
 
    const OvernightIndexedCrossCcyBasisSwap::results* results =
        dynamic_cast<const OvernightIndexedCrossCcyBasisSwap::results*>(r);
    QL_REQUIRE(results != 0, "wrong result type");
 
    fairRecLegSpread_ = results->fairRecLegSpread;
    fairPayLegSpread_ = results->fairPayLegSpread;
}

initialize()

void initialize ( )

private

Definition at line 38 of file oiccbasisswap.cpp.

                                                   {
    legs_[0] = OvernightLeg(paySchedule_, payIndex_).withNotionals(payNominal_).withSpreads(paySpread_);
    legs_[0].insert(legs_[0].begin(),
                    QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(-payNominal_, paySchedule_.dates().front())));
    legs_[0].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(payNominal_, paySchedule_.dates().back())));
 
    legs_[1] = OvernightLeg(recSchedule_, recIndex_).withNotionals(recNominal_).withSpreads(recSpread_);
    legs_[1].insert(legs_[1].begin(),
                    QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(-recNominal_, recSchedule_.dates().front())));
    legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(new SimpleCashFlow(recNominal_, recSchedule_.dates().back())));
 
    for (Size j = 0; j < 2; ++j) {
        for (Leg::iterator i = legs_[j].begin(); i != legs_[j].end(); ++i)
            registerWith(*i);
    }
 
    payer_[0] = -1.0;
    payer_[1] = +1.0;
 
    currency_[0] = payCurrency_;
    currency_[1] = recCurrency_;
}

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Member Data Documentation

payNominal_

Real payNominal_

private

Definition at line 87 of file oiccbasisswap.hpp.

recNominal_

Real recNominal_

private

Definition at line 87 of file oiccbasisswap.hpp.

payCurrency_

Currency payCurrency_

private

Definition at line 88 of file oiccbasisswap.hpp.

recCurrency_

Currency recCurrency_

private

Definition at line 88 of file oiccbasisswap.hpp.

paySchedule_

Schedule paySchedule_

private

Definition at line 89 of file oiccbasisswap.hpp.

recSchedule_

Schedule recSchedule_

private

Definition at line 89 of file oiccbasisswap.hpp.

payIndex_

QuantLib::ext::shared_ptr<OvernightIndex> payIndex_

private

Definition at line 90 of file oiccbasisswap.hpp.

recIndex_

QuantLib::ext::shared_ptr<OvernightIndex> recIndex_

private

Definition at line 90 of file oiccbasisswap.hpp.

paySpread_

Spread paySpread_

private

Definition at line 91 of file oiccbasisswap.hpp.

recSpread_

Spread recSpread_

private

Definition at line 91 of file oiccbasisswap.hpp.

currency_

std::vector<Currency> currency_

private

Definition at line 92 of file oiccbasisswap.hpp.

fairPayLegSpread_

Real fairPayLegSpread_

mutableprivate

Definition at line 94 of file oiccbasisswap.hpp.

fairRecLegSpread_

Real fairRecLegSpread_

mutableprivate

Definition at line 95 of file oiccbasisswap.hpp.