VanillaCrossCurrencySwap Class Reference

Vanilla cross currency interest rate swap. More...

#include <qle/instruments/currencyswap.hpp>

Inheritance diagram for VanillaCrossCurrencySwap:

Collaboration diagram for VanillaCrossCurrencySwap:

Public Member Functions
	VanillaCrossCurrencySwap (bool payFixed, Currency fixedCcy, Real fixedNominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, Currency floatCcy, Real floatNominal, const Schedule &floatSchedule, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, Rate floatSpread, 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

Vanilla cross currency interest rate swap.

Specialised CurrencySwap: Two currencies, fixed vs. floating, constant notionals, rate and spread.

\ingroup instruments{

Definition at line 173 of file currencyswap.hpp.

Constructor & Destructor Documentation

VanillaCrossCurrencySwap()

VanillaCrossCurrencySwap	(	bool	payFixed,
		Currency	fixedCcy,
		Real	fixedNominal,
		const Schedule &	fixedSchedule,
		Rate	fixedRate,
		const DayCounter &	fixedDayCount,
		Currency	floatCcy,
		Real	floatNominal,
		const Schedule &	floatSchedule,
		const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex,
		Rate	floatSpread,
		boost::optional< BusinessDayConvention >	paymentConvention = boost::none,
		const bool	isPhysicallySettled = true,
		const bool	isResettable = false
	)

Definition at line 207 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(fixedNominal)
                   .withCouponRates(fixedRate, fixedDayCount)
                   .withPaymentAdjustment(convention);
 
    // add initial and final notional exchange
    currency_[1] = fixedCcy;
    payer_[1] = payer_[0];
    legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(-fixedNominal, fixedSchedule.calendar().adjust(fixedSchedule.dates().front(), convention))));
    legs_[1].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(fixedNominal, fixedSchedule.calendar().adjust(fixedSchedule.dates().back(), convention))));
 
    // floating leg
    currency_[2] = floatCcy;
    payer_[2] = (payFixed ? +1 : -1);
    legs_[2] = IborLeg(floatSchedule, iborIndex)
                   .withNotionals(floatNominal)
                   .withPaymentDayCounter(iborIndex->dayCounter())
                   .withPaymentAdjustment(convention)
                   .withSpreads(floatSpread);
    for (Leg::const_iterator i = legs_[2].begin(); i < legs_[2].end(); ++i)
        registerWith(*i);
 
    // add initial and final notional exchange
    currency_[3] = floatCcy;
    payer_[3] = payer_[2];
    legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(-floatNominal, floatSchedule.calendar().adjust(floatSchedule.dates().front(), convention))));
    legs_[3].push_back(QuantLib::ext::shared_ptr<CashFlow>(
        new SimpleCashFlow(floatNominal, floatSchedule.calendar().adjust(floatSchedule.dates().back(), convention))));
}