QuantLib: a free/open-source library for quantitative finance
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vanillaswap.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
6 Copyright (C) 2006, 2008 Ferdinando Ametrano
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file vanillaswap.hpp
23 \brief Simple fixed-rate vs Libor swap
24*/
25
26#ifndef quantlib_vanilla_swap_hpp
27#define quantlib_vanilla_swap_hpp
28
31#include <ql/time/schedule.hpp>
32#include <ql/optional.hpp>
33
34namespace QuantLib {
35
36 class IborIndex;
37
38 //! Plain-vanilla swap: fix vs ibor leg
39 /*! \ingroup instruments
40
41 If no payment convention is passed, the convention of the
42 floating-rate schedule is used.
43
44 \warning if <tt>Settings::includeReferenceDateCashFlows()</tt>
45 is set to <tt>true</tt>, payments occurring at the
46 settlement date of the swap might be included in the
47 NPV and therefore affect the fair-rate and
48 fair-spread calculation. This might not be what you
49 want.
50
51 \test
52 - the correctness of the returned value is tested by checking
53 that the price of a swap paying the fair fixed rate is null.
54 - the correctness of the returned value is tested by checking
55 that the price of a swap receiving the fair floating-rate
56 spread is null.
57 - the correctness of the returned value is tested by checking
58 that the price of a swap decreases with the paid fixed rate.
59 - the correctness of the returned value is tested by checking
60 that the price of a swap increases with the received
61 floating-rate spread.
62 - the correctness of the returned value is tested by checking
63 it against a known good value.
64 */
66 public:
72 Schedule floatSchedule,
73 ext::shared_ptr<IborIndex> iborIndex,
76 ext::optional<BusinessDayConvention> paymentConvention = ext::nullopt,
77 ext::optional<bool> useIndexedCoupons = ext::nullopt);
78
79 private:
80 void setupFloatingArguments(arguments* args) const override;
81 };
82
83}
84
85#endif
day counter class
Definition: daycounter.hpp:44
Arguments for simple swap calculation
const DayCounter & fixedDayCount() const
BusinessDayConvention paymentConvention() const
const Schedule & fixedSchedule() const
const ext::shared_ptr< IborIndex > & iborIndex() const
const DayCounter & floatingDayCount() const
Payment schedule.
Definition: schedule.hpp:40
Plain-vanilla swap: fix vs ibor leg.
Definition: vanillaswap.hpp:65
void setupFloatingArguments(arguments *args) const override
Definition: vanillaswap.cpp:55
day counter class
Fixed-rate vs floating-rate swap.
QL_REAL Real
real number
Definition: types.hpp:50
Real Spread
spreads on interest rates
Definition: types.hpp:74
Real Rate
interest rates
Definition: types.hpp:70
const boost::none_t & nullopt
Definition: optional.cpp:27
Definition: any.hpp:35
Maps optional to either the boost or std implementation.
date schedule