Equity total return swap. More...

#include <ql/instruments/equitytotalreturnswap.hpp>

Inheritance diagram for EquityTotalReturnSwap:

Collaboration diagram for EquityTotalReturnSwap:

Public Member Functions
	EquityTotalReturnSwap (Type type, Real nominal, Schedule schedule, ext::shared_ptr< EquityIndex > equityIndex, const ext::shared_ptr< IborIndex > &interestRateIndex, DayCounter dayCounter, Rate margin, Real gearing=1.0, Calendar paymentCalendar=Calendar(), BusinessDayConvention paymentConvention=Unadjusted, Natural paymentDelay=0)

	EquityTotalReturnSwap (Type type, Real nominal, Schedule schedule, ext::shared_ptr< EquityIndex > equityIndex, const ext::shared_ptr< OvernightIndex > &interestRateIndex, DayCounter dayCounter, Rate margin, Real gearing=1.0, Calendar paymentCalendar=Calendar(), BusinessDayConvention paymentConvention=Unadjusted, Natural paymentDelay=0)

Inspectors
Type	type () const

Real	nominal () const

const ext::shared_ptr< EquityIndex > &	equityIndex () const

const ext::shared_ptr< InterestRateIndex > &	interestRateIndex () const

const Schedule &	schedule () const

const DayCounter &	dayCounter () const

Rate	margin () const

Real	gearing () const

const Calendar &	paymentCalendar () const

BusinessDayConvention	paymentConvention () const

Natural	paymentDelay () const

const Leg &	equityLeg () const

const Leg &	interestRateLeg () 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
ext::shared_ptr< EquityIndex >	equityIndex_

ext::shared_ptr< InterestRateIndex >	interestRateIndex_

Type	type_

Real	nominal_

Schedule	schedule_

DayCounter	dayCounter_

Rate	margin_

Real	gearing_

Calendar	paymentCalendar_

BusinessDayConvention	paymentConvention_

Natural	paymentDelay_

Real	equityLegNPV () const

Real	interestRateLegNPV () const

Real	fairMargin () const

	EquityTotalReturnSwap (ext::shared_ptr< EquityIndex > equityIndex, ext::shared_ptr< InterestRateIndex > interestRateIndex, Type type, Real nominal, Schedule schedule, DayCounter dayCounter, Rate margin, Real gearing=1.0, Calendar paymentCalendar=Calendar(), BusinessDayConvention paymentConvention=Unadjusted, Natural paymentDelay=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

Equity total return swap.

It exchanges a total return of an equity index for a set of floating cash flows linked to either Ibor or overnight index. The equity leg future value (FV) is:

\[ FV^{equity} = N \left[ \frac{I(t, T_{M})}{I(T_{0})} -1 \right], \]

where \( N \) is the swap notional, \( I(T_{0}) \) is the value of the equity index on the start date and \( I(t, T_{M}) \) is the value of the equity index at maturity. The floating leg payments are linked to either an Ibor or an overnight index. In case of an overnight index the interest rate fixings are compounded over the accrual period.

Swap type (payer of receiver) refers to the equity leg.

Definition at line 54 of file equitytotalreturnswap.hpp.

Constructor & Destructor Documentation

◆ EquityTotalReturnSwap() [1/3]

EquityTotalReturnSwap	(	Type	type,
		Real	nominal,
		Schedule	schedule,
		ext::shared_ptr< EquityIndex >	equityIndex,
		const ext::shared_ptr< IborIndex > &	interestRateIndex,
		DayCounter	dayCounter,
		Rate	margin,
		Real	gearing = `1.0`,
		Calendar	paymentCalendar = `Calendar()`,
		BusinessDayConvention	paymentConvention = `Unadjusted`,
		Natural	paymentDelay = `0`
	)

Definition at line 111 of file equitytotalreturnswap.cpp.

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◆ EquityTotalReturnSwap() [2/3]

EquityTotalReturnSwap	(	Type	type,
		Real	nominal,
		Schedule	schedule,
		ext::shared_ptr< EquityIndex >	equityIndex,
		const ext::shared_ptr< OvernightIndex > &	interestRateIndex,
		DayCounter	dayCounter,
		Rate	margin,
		Real	gearing = `1.0`,
		Calendar	paymentCalendar = `Calendar()`,
		BusinessDayConvention	paymentConvention = `Unadjusted`,
		Natural	paymentDelay = `0`
	)

Definition at line 140 of file equitytotalreturnswap.cpp.

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◆ EquityTotalReturnSwap() [3/3]

EquityTotalReturnSwap	(	ext::shared_ptr< EquityIndex >	equityIndex,
		ext::shared_ptr< InterestRateIndex >	interestRateIndex,
		Type	type,
		Real	nominal,
		Schedule	schedule,
		DayCounter	dayCounter,
		Rate	margin,
		Real	gearing = `1.0`,
		Calendar	paymentCalendar = `Calendar()`,
		BusinessDayConvention	paymentConvention = `Unadjusted`,
		Natural	paymentDelay = `0`
	)

private

Definition at line 72 of file equitytotalreturnswap.cpp.

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Member Function Documentation

◆ type()

Type type ( ) const

Definition at line 82 of file equitytotalreturnswap.hpp.

◆ nominal()

Real nominal ( ) const

Definition at line 83 of file equitytotalreturnswap.hpp.

◆ equityIndex()

const ext::shared_ptr< EquityIndex > & equityIndex ( ) const

Definition at line 84 of file equitytotalreturnswap.hpp.

◆ interestRateIndex()

const ext::shared_ptr< InterestRateIndex > & interestRateIndex ( ) const

Definition at line 85 of file equitytotalreturnswap.hpp.

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◆ schedule()

const Schedule & schedule ( ) const

Definition at line 86 of file equitytotalreturnswap.hpp.

◆ dayCounter()

const DayCounter & dayCounter ( ) const

Definition at line 87 of file equitytotalreturnswap.hpp.

◆ margin()

Rate margin ( ) const

Definition at line 88 of file equitytotalreturnswap.hpp.

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◆ gearing()

Real gearing ( ) const

Definition at line 89 of file equitytotalreturnswap.hpp.

◆ paymentCalendar()

const Calendar & paymentCalendar ( ) const

Definition at line 90 of file equitytotalreturnswap.hpp.

◆ paymentConvention()

BusinessDayConvention paymentConvention ( ) const

Definition at line 91 of file equitytotalreturnswap.hpp.

◆ paymentDelay()

Natural paymentDelay ( ) const

Definition at line 92 of file equitytotalreturnswap.hpp.

◆ equityLeg()

const Leg & equityLeg ( ) const

Definition at line 169 of file equitytotalreturnswap.cpp.

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◆ interestRateLeg()

const Leg & interestRateLeg ( ) const

Definition at line 173 of file equitytotalreturnswap.cpp.

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◆ equityLegNPV()

Real equityLegNPV ( ) const

Definition at line 177 of file equitytotalreturnswap.cpp.

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◆ interestRateLegNPV()

Real interestRateLegNPV ( ) const

Definition at line 181 of file equitytotalreturnswap.cpp.

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◆ fairMargin()

Real fairMargin ( ) const

Definition at line 185 of file equitytotalreturnswap.cpp.

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Member Data Documentation

◆ equityIndex_

ext::shared_ptr<EquityIndex> equityIndex_

private

Definition at line 118 of file equitytotalreturnswap.hpp.

◆ interestRateIndex_

ext::shared_ptr<InterestRateIndex> interestRateIndex_

private

Definition at line 119 of file equitytotalreturnswap.hpp.

◆ type_

Type type_

private

Definition at line 120 of file equitytotalreturnswap.hpp.

◆ nominal_

Real nominal_

private

Definition at line 121 of file equitytotalreturnswap.hpp.

◆ schedule_

Schedule schedule_

private

Definition at line 122 of file equitytotalreturnswap.hpp.

◆ dayCounter_

DayCounter dayCounter_

private

Definition at line 123 of file equitytotalreturnswap.hpp.

◆ margin_

Rate margin_

private

Definition at line 124 of file equitytotalreturnswap.hpp.

◆ gearing_

Real gearing_

private

Definition at line 125 of file equitytotalreturnswap.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 126 of file equitytotalreturnswap.hpp.

◆ paymentConvention_

BusinessDayConvention paymentConvention_

private

Definition at line 127 of file equitytotalreturnswap.hpp.

◆ paymentDelay_

Natural paymentDelay_

private

Definition at line 128 of file equitytotalreturnswap.hpp.

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ EquityTotalReturnSwap() [1/3]

◆ EquityTotalReturnSwap() [2/3]

◆ EquityTotalReturnSwap() [3/3]

Member Function Documentation

◆ type()

◆ nominal()

◆ equityIndex()

◆ interestRateIndex()

◆ schedule()

◆ dayCounter()

◆ margin()

◆ gearing()

◆ paymentCalendar()

◆ paymentConvention()

◆ paymentDelay()

◆ equityLeg()

◆ interestRateLeg()

◆ equityLegNPV()

◆ interestRateLegNPV()

◆ fairMargin()

Member Data Documentation

◆ equityIndex_

◆ interestRateIndex_

◆ type_

◆ nominal_

◆ schedule_

◆ dayCounter_

◆ margin_

◆ gearing_

◆ paymentCalendar_

◆ paymentConvention_

◆ paymentDelay_