Fixed vs floating swap. More...

#include <fixedvsfloatingswap.hpp>

Inheritance diagram for FixedVsFloatingSwap:

Collaboration diagram for FixedVsFloatingSwap:

Classes
class	arguments
	Arguments for simple swap calculation More...

class	engine

class	results
	Results from simple swap calculation More...

Public Member Functions
	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())

Inspectors
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

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 ()

Results
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_

BusinessDayConvention	paymentConvention_

Rate	fairRate_

Spread	fairSpread_

bool	constantNominals_

bool	sameNominals_

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

void	setupExpired () const override

virtual void	setupFloatingArguments (arguments *args) const =0

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

Fixed vs floating swap.

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.

Definition at line 51 of file fixedvsfloatingswap.hpp.

Constructor & Destructor Documentation

◆ 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()`
	)

Definition at line 33 of file fixedvsfloatingswap.cpp.

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Member Function Documentation

◆ type()

Swap::Type type ( ) const

Definition at line 167 of file fixedvsfloatingswap.hpp.

◆ nominal()

Real nominal ( ) const

This throws if the nominal is not constant across coupons.

Definition at line 171 of file fixedvsfloatingswap.hpp.

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◆ nominals()

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

This throws if the nominals are not the same for the two legs.

Definition at line 176 of file fixedvsfloatingswap.hpp.

◆ fixedNominals()

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

Definition at line 181 of file fixedvsfloatingswap.hpp.

◆ fixedSchedule()

const Schedule & fixedSchedule ( ) const

Definition at line 185 of file fixedvsfloatingswap.hpp.

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◆ fixedRate()

Rate fixedRate ( ) const

Definition at line 189 of file fixedvsfloatingswap.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( ) const

Definition at line 193 of file fixedvsfloatingswap.hpp.

◆ floatingNominals()

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

Definition at line 197 of file fixedvsfloatingswap.hpp.

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◆ floatingSchedule()

const Schedule & floatingSchedule ( ) const

Definition at line 201 of file fixedvsfloatingswap.hpp.

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◆ iborIndex()

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

Definition at line 205 of file fixedvsfloatingswap.hpp.

◆ spread()

Spread spread ( ) const

Definition at line 209 of file fixedvsfloatingswap.hpp.

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◆ floatingDayCount()

const DayCounter & floatingDayCount ( ) const

Definition at line 213 of file fixedvsfloatingswap.hpp.

◆ paymentConvention()

BusinessDayConvention paymentConvention ( ) const

Definition at line 217 of file fixedvsfloatingswap.hpp.

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◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 221 of file fixedvsfloatingswap.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 225 of file fixedvsfloatingswap.hpp.

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◆ fixedLegBPS()

Real fixedLegBPS ( ) const

Definition at line 152 of file fixedvsfloatingswap.cpp.

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◆ fixedLegNPV()

Real fixedLegNPV ( ) const

Definition at line 164 of file fixedvsfloatingswap.cpp.

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◆ fairRate()

Rate fairRate ( ) const

Examples: MulticurveBootstrapping.cpp.

Definition at line 140 of file fixedvsfloatingswap.cpp.

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◆ floatingLegBPS()

Real floatingLegBPS ( ) const

Definition at line 158 of file fixedvsfloatingswap.cpp.

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◆ floatingLegNPV()

Real floatingLegNPV ( ) const

Definition at line 170 of file fixedvsfloatingswap.cpp.

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◆ fairSpread()

Spread fairSpread ( ) const

Examples: MulticurveBootstrapping.cpp.

Definition at line 146 of file fixedvsfloatingswap.cpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 106 of file fixedvsfloatingswap.cpp.

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◆ fetchResults()

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

overridevirtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 183 of file fixedvsfloatingswap.cpp.

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◆ setupExpired()

void setupExpired ( ) const

overrideprivatevirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Definition at line 176 of file fixedvsfloatingswap.cpp.

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◆ setupFloatingArguments()

virtual void setupFloatingArguments ( arguments * args ) const

privatepure virtual

Implemented in OvernightIndexedSwap, and VanillaSwap.

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Member Data Documentation

◆ type_

Type type_

private

Definition at line 112 of file fixedvsfloatingswap.hpp.

◆ fixedNominals_

std::vector<Real> fixedNominals_

private

Definition at line 113 of file fixedvsfloatingswap.hpp.

◆ fixedSchedule_

Schedule fixedSchedule_

private

Definition at line 114 of file fixedvsfloatingswap.hpp.

◆ fixedRate_

Rate fixedRate_

private

Definition at line 115 of file fixedvsfloatingswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 116 of file fixedvsfloatingswap.hpp.

◆ floatingNominals_

std::vector<Real> floatingNominals_

private

Definition at line 117 of file fixedvsfloatingswap.hpp.

◆ floatingSchedule_

Schedule floatingSchedule_

private

Definition at line 118 of file fixedvsfloatingswap.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 119 of file fixedvsfloatingswap.hpp.

◆ spread_

Spread spread_

private

Definition at line 120 of file fixedvsfloatingswap.hpp.

◆ floatingDayCount_

DayCounter floatingDayCount_

private

Definition at line 121 of file fixedvsfloatingswap.hpp.

◆ paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 122 of file fixedvsfloatingswap.hpp.

◆ fairRate_

Rate fairRate_

mutableprivate

Definition at line 124 of file fixedvsfloatingswap.hpp.

◆ fairSpread_

Spread fairSpread_

mutableprivate

Definition at line 125 of file fixedvsfloatingswap.hpp.

◆ constantNominals_

bool constantNominals_

private

Definition at line 127 of file fixedvsfloatingswap.hpp.

◆ sameNominals_

bool sameNominals_

private

Definition at line 127 of file fixedvsfloatingswap.hpp.

Classes

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FixedVsFloatingSwap()

Member Function Documentation

◆ type()

◆ nominal()

◆ nominals()

◆ fixedNominals()

◆ fixedSchedule()

◆ fixedRate()

◆ fixedDayCount()

◆ floatingNominals()

◆ floatingSchedule()

◆ iborIndex()

◆ spread()

◆ floatingDayCount()

◆ paymentConvention()

◆ fixedLeg()

◆ floatingLeg()

◆ fixedLegBPS()

◆ fixedLegNPV()

◆ fairRate()

◆ floatingLegBPS()

◆ floatingLegNPV()

◆ fairSpread()

◆ setupArguments()

◆ fetchResults()

◆ setupExpired()

◆ setupFloatingArguments()

Member Data Documentation

◆ type_

◆ fixedNominals_

◆ fixedSchedule_

◆ fixedRate_

◆ fixedDayCount_

◆ floatingNominals_

◆ floatingSchedule_

◆ iborIndex_

◆ spread_

◆ floatingDayCount_

◆ paymentConvention_

◆ fairRate_

◆ fairSpread_

◆ constantNominals_

◆ sameNominals_