SubPeriodsSwap Class Reference

Single currency sub periods swap. More...

#include <qle/instruments/subperiodsswap.hpp>

Inheritance diagram for SubPeriodsSwap:

Collaboration diagram for SubPeriodsSwap:

Public Member Functions
Constructors
	SubPeriodsSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, bool isPayer, const Period &fixedTenor, Rate fixedRate, const Calendar &fixedCalendar, const DayCounter &fixedDayCount, BusinessDayConvention fixedConvention, const Period &floatPayTenor, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatingDayCount, DateGeneration::Rule rule=DateGeneration::Backward, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
	Constructor with conventions deduced from the index. More...
Inspectors
Real	nominal () const
bool	isPayer () const
const Schedule &	fixedSchedule () const
Rate	fixedRate () const
const Leg &	fixedLeg () const
const Schedule &	floatSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	floatIndex () const
QuantExt::SubPeriodsCoupon1::Type	type () const
const Period &	floatPayTenor () const
const Leg &	floatLeg () const

Results
Real	nominal_
bool	isPayer_
Schedule	fixedSchedule_
Rate	fixedRate_
DayCounter	fixedDayCount_
Schedule	floatSchedule_
QuantLib::ext::shared_ptr< IborIndex >	floatIndex_
DayCounter	floatDayCount_
Period	floatPayTenor_
QuantExt::SubPeriodsCoupon1::Type	type_
Real	fairRate () const
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Real	floatLegBPS () const
Real	floatLegNPV () const

Detailed Description

Single currency sub periods swap.

Definition at line 38 of file subperiodsswap.hpp.

Constructor & Destructor Documentation

SubPeriodsSwap()

SubPeriodsSwap	(	const Date &	effectiveDate,
		Real	nominal,
		const Period &	swapTenor,
		bool	isPayer,
		const Period &	fixedTenor,
		Rate	fixedRate,
		const Calendar &	fixedCalendar,
		const DayCounter &	fixedDayCount,
		BusinessDayConvention	fixedConvention,
		const Period &	floatPayTenor,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		const DayCounter &	floatingDayCount,
		DateGeneration::Rule	rule = DateGeneration::Backward,
		QuantExt::SubPeriodsCoupon1::Type	type = QuantExt::SubPeriodsCoupon1::Compounding
	)

Constructor with conventions deduced from the index.

Definition at line 36 of file subperiodsswap.cpp.

    : Swap(2), nominal_(nominal), isPayer_(isPayer), fixedRate_(fixedRate), fixedDayCount_(fixedDayCount),
      floatIndex_(iborIndex), floatDayCount_(floatingDayCount), floatPayTenor_(floatPayTenor), type_(type) {
 
    Date terminationDate = effectiveDate + swapTenor;
 
    // Fixed leg
    fixedSchedule_ = MakeSchedule()
                         .from(effectiveDate)
                         .to(terminationDate)
                         .withTenor(fixedTenor)
                         .withCalendar(fixedCalendar)
                         .withConvention(fixedConvention)
                         .withTerminationDateConvention(fixedConvention)
                         .withRule(rule);
 
    legs_[0] = FixedRateLeg(fixedSchedule_)
                   .withNotionals(nominal_)
                   .withCouponRates(fixedRate_, fixedDayCount_)
                   .withPaymentAdjustment(fixedConvention);
 
    // Sub Periods Leg, schedule is the PAY schedule
    BusinessDayConvention floatPmtConvention = iborIndex->businessDayConvention();
    Calendar floatPmtCalendar = iborIndex->fixingCalendar();
    floatSchedule_ = MakeSchedule()
                         .from(effectiveDate)
                         .to(terminationDate)
                         .withTenor(floatPayTenor)
                         .withCalendar(floatPmtCalendar)
                         .withConvention(floatPmtConvention)
                         .withTerminationDateConvention(floatPmtConvention)
                         .withRule(rule);
 
    legs_[1] = SubPeriodsLeg1(floatSchedule_, floatIndex_)
                   .withNotional(nominal_)
                   .withPaymentAdjustment(floatPmtConvention)
                   .withPaymentDayCounter(floatDayCount_)
                   .withPaymentCalendar(floatPmtCalendar)
                   .includeSpread(false)
                   .withType(type_);
 
    // legs_[0] is fixed
    payer_[0] = isPayer_ ? -1.0 : +1.0;
    payer_[1] = isPayer_ ? +1.0 : -1.0;
 
    // Register this instrument with its coupons
    Leg::const_iterator it;
    for (it = legs_[0].begin(); it != legs_[0].end(); ++it)
        registerWith(*it);
    for (it = legs_[1].begin(); it != legs_[1].end(); ++it)
        registerWith(*it);
}

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Member Function Documentation

nominal()

Real nominal

(

)

const

Definition at line 91 of file subperiodsswap.hpp.

{ return nominal_; }

isPayer()

bool isPayer

(

)

const

Definition at line 93 of file subperiodsswap.hpp.

{ return isPayer_; }

fixedSchedule()

const Schedule & fixedSchedule

(

)

const

Definition at line 95 of file subperiodsswap.hpp.

{ return fixedSchedule_; }

fixedRate()

Rate fixedRate

(

)

const

Definition at line 97 of file subperiodsswap.hpp.

{ return fixedRate_; }

fixedLeg()

const Leg & fixedLeg

(

)

const

Definition at line 99 of file subperiodsswap.hpp.

{ return legs_[0]; }

floatSchedule()

const Schedule & floatSchedule

(

)

const

Definition at line 105 of file subperiodsswap.hpp.

{ return floatSchedule_; }

floatIndex()

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

(

)

const

Definition at line 107 of file subperiodsswap.hpp.

{ return floatIndex_; }

type()

QuantExt::SubPeriodsCoupon1::Type type

(

)

const

Definition at line 109 of file subperiodsswap.hpp.

{ return type_; }

floatPayTenor()

const Period & floatPayTenor

(

)

const

Definition at line 111 of file subperiodsswap.hpp.

{ return floatPayTenor_; }

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floatLeg()

const Leg & floatLeg

(

)

const

Definition at line 113 of file subperiodsswap.hpp.

{ return legs_[1]; }

fairRate()

Real fairRate

(

)

const

Definition at line 95 of file subperiodsswap.cpp.

                                    {
    static const Spread basisPoint = 1.0e-4;
    calculate();
    QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");
    return fixedRate_ - NPV_ / (legBPS_[0] / basisPoint);
}

fixedLegBPS()

Rate fixedLegBPS

(

)

const

Definition at line 101 of file subperiodsswap.hpp.

{ return legBPS(0); }

fixedLegNPV()

Rate fixedLegNPV

(

)

const

Definition at line 103 of file subperiodsswap.hpp.

{ return legNPV(0); }

floatLegBPS()

Rate floatLegBPS

(

)

const

Definition at line 115 of file subperiodsswap.hpp.

{ return legBPS(1); }

floatLegNPV()

Rate floatLegNPV

(

)

const

Definition at line 117 of file subperiodsswap.hpp.

{ return legNPV(1); }

Member Data Documentation

nominal_

Real nominal_

private

Definition at line 76 of file subperiodsswap.hpp.

isPayer_

bool isPayer_

private

Definition at line 77 of file subperiodsswap.hpp.

fixedSchedule_

Schedule fixedSchedule_

private

Definition at line 79 of file subperiodsswap.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 80 of file subperiodsswap.hpp.

fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 81 of file subperiodsswap.hpp.

floatSchedule_

Schedule floatSchedule_

private

Definition at line 83 of file subperiodsswap.hpp.

floatIndex_

QuantLib::ext::shared_ptr<IborIndex> floatIndex_

private

Definition at line 84 of file subperiodsswap.hpp.

floatDayCount_

DayCounter floatDayCount_

private

Definition at line 85 of file subperiodsswap.hpp.

floatPayTenor_

Period floatPayTenor_

private

Definition at line 86 of file subperiodsswap.hpp.

type_

QuantExt::SubPeriodsCoupon1::Type type_

private

Definition at line 87 of file subperiodsswap.hpp.