Plain-vanilla swap: fix vs ibor leg. More...

#include <vanillaswap.hpp>

Inheritance diagram for VanillaSwap:

Collaboration diagram for VanillaSwap:

Public Member Functions
	VanillaSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, Schedule floatSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, ext::optional< bool > useIndexedCoupons=ext::nullopt)

Public Member Functions inherited from FixedVsFloatingSwap
	FixedVsFloatingSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, std::vector< Real > floatingNominals, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, Integer paymentLag=0, const Calendar &paymentCalendar=Calendar())

Type	type () const

Real	nominal () const

const std::vector< Real > &	nominals () const

const std::vector< Real > &	fixedNominals () const

const Schedule &	fixedSchedule () const

Rate	fixedRate () const

const DayCounter &	fixedDayCount () const

const std::vector< Real > &	floatingNominals () const

const Schedule &	floatingSchedule () const

const ext::shared_ptr< IborIndex > &	iborIndex () const

Spread	spread () const

const DayCounter &	floatingDayCount () const

BusinessDayConvention	paymentConvention () const

const Leg &	fixedLeg () const

const Leg &	floatingLeg () const

Real	fixedLegBPS () const

Real	fixedLegNPV () const

Rate	fairRate () const

Real	floatingLegBPS () const

Real	floatingLegNPV () const

Spread	fairSpread () const

void	setupArguments (PricingEngine::arguments *args) const override

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

Public Member Functions inherited from Swap
void	deepUpdate () override

Size	numberOfLegs () const

const std::vector< Leg > &	legs () const

virtual Date	startDate () const

virtual Date	maturityDate () const

Real	legBPS (Size j) const

Real	legNPV (Size j) const

DiscountFactor	startDiscounts (Size j) const

DiscountFactor	endDiscounts (Size j) const

DiscountFactor	npvDateDiscount () const

const Leg &	leg (Size j) const

bool	payer (Size j) const

bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

void	setupArguments (PricingEngine::arguments *) const override

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

	Swap (const Leg &firstLeg, const Leg &secondLeg)

	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Private Member Functions
void	setupFloatingArguments (arguments *args) const override

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from Swap
void	setupExpired () const override

	Swap (Size legs)

Protected Member Functions inherited from Instrument
void	calculate () const override

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Swap
std::vector< Leg >	legs_

std::vector< Real >	payer_

std::vector< Real >	legNPV_

std::vector< Real >	legBPS_

std::vector< DiscountFactor >	startDiscounts_

std::vector< DiscountFactor >	endDiscounts_

DiscountFactor	npvDateDiscount_

Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Detailed Description

Plain-vanilla swap: fix vs ibor leg.

If no payment convention is passed, the convention of the floating-rate schedule is used.

Warning:: if Settings::includeReferenceDateCashFlows() is set to true, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-rate and fair-spread calculation. This might not be what you want.

Tests:

the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.
the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.
the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.
the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.
the correctness of the returned value is tested by checking it against a known good value.

Examples: Gaussian1dModels.cpp, and MulticurveBootstrapping.cpp.

Definition at line 65 of file vanillaswap.hpp.

Constructor & Destructor Documentation

◆ VanillaSwap()

VanillaSwap	(	Type	type,
		Real	nominal,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	floatSchedule,
		ext::shared_ptr< IborIndex >	iborIndex,
		Spread	spread,
		DayCounter	floatingDayCount,
		ext::optional< BusinessDayConvention >	paymentConvention = `ext::nullopt`,
		ext::optional< bool >	useIndexedCoupons = `ext::nullopt`
	)

Definition at line 30 of file vanillaswap.cpp.

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Member Function Documentation

◆ setupFloatingArguments()

void setupFloatingArguments ( arguments * args ) const

overrideprivatevirtual

Implements FixedVsFloatingSwap.

Definition at line 55 of file vanillaswap.cpp.

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Public Member Functions

Private Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ VanillaSwap()

Member Function Documentation

◆ setupFloatingArguments()