float float swap More...

#include <floatfloatswap.hpp>

Inheritance diagram for FloatFloatSwap:

Collaboration diagram for FloatFloatSwap:

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

class	engine

class	results
	Results from float float swap calculation More...

Public Member Functions
	FloatFloatSwap (Swap::Type type, Real nominal1, Real nominal2, Schedule schedule1, ext::shared_ptr< InterestRateIndex > index1, DayCounter dayCount1, Schedule schedule2, ext::shared_ptr< InterestRateIndex > index2, DayCounter dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, Real gearing1=1.0, Real spread1=0.0, Real cappedRate1=Null< Real >(), Real flooredRate1=Null< Real >(), Real gearing2=1.0, Real spread2=0.0, Real cappedRate2=Null< Real >(), Real flooredRate2=Null< Real >(), const ext::optional< BusinessDayConvention > &paymentConvention1=ext::nullopt, const ext::optional< BusinessDayConvention > &paymentConvention2=ext::nullopt)

	FloatFloatSwap (Swap::Type type, std::vector< Real > nominal1, std::vector< Real > nominal2, Schedule schedule1, ext::shared_ptr< InterestRateIndex > index1, DayCounter dayCount1, Schedule schedule2, ext::shared_ptr< InterestRateIndex > index2, DayCounter dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, std::vector< Real > gearing1=std::vector< Real >(), std::vector< Real > spread1=std::vector< Real >(), std::vector< Real > cappedRate1=std::vector< Real >(), std::vector< Real > flooredRate1=std::vector< Real >(), std::vector< Real > gearing2=std::vector< Real >(), std::vector< Real > spread2=std::vector< Real >(), std::vector< Real > cappedRate2=std::vector< Real >(), std::vector< Real > flooredRate2=std::vector< Real >(), const ext::optional< BusinessDayConvention > &paymentConvention1=ext::nullopt, const ext::optional< BusinessDayConvention > &paymentConvention2=ext::nullopt)

Inspectors
Swap::Type	type () const

const std::vector< Real > &	nominal1 () const

const std::vector< Real > &	nominal2 () const

const Schedule &	schedule1 () const

const Schedule &	schedule2 () const

const ext::shared_ptr< InterestRateIndex > &	index1 () const

const ext::shared_ptr< InterestRateIndex > &	index2 () const

std::vector< Real >	spread1 () const

std::vector< Real >	spread2 () const

std::vector< Real >	gearing1 () const

std::vector< Real >	gearing2 () const

std::vector< Rate >	cappedRate1 () const

std::vector< Rate >	flooredRate1 () const

std::vector< Rate >	cappedRate2 () const

std::vector< Rate >	flooredRate2 () const

const DayCounter &	dayCount1 () const

const DayCounter &	dayCount2 () const

BusinessDayConvention	paymentConvention1 () const

BusinessDayConvention	paymentConvention2 () const

const Leg &	leg1 () const

const Leg &	leg2 () 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
Swap::Type	type_

std::vector< Real >	nominal1_

std::vector< Real >	nominal2_

Schedule	schedule1_

Schedule	schedule2_

ext::shared_ptr< InterestRateIndex >	index1_

ext::shared_ptr< InterestRateIndex >	index2_

std::vector< Real >	gearing1_

std::vector< Real >	gearing2_

std::vector< Real >	spread1_

std::vector< Real >	spread2_

std::vector< Real >	cappedRate1_

std::vector< Real >	flooredRate1_

std::vector< Real >	cappedRate2_

std::vector< Real >	flooredRate2_

DayCounter	dayCount1_

DayCounter	dayCount2_

std::vector< bool >	isRedemptionFlow1_

std::vector< bool >	isRedemptionFlow2_

BusinessDayConvention	paymentConvention1_

BusinessDayConvention	paymentConvention2_

const bool	intermediateCapitalExchange_

const bool	finalCapitalExchange_

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

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

void	init (ext::optional< BusinessDayConvention > paymentConvention1, ext::optional< BusinessDayConvention > paymentConvention2)

void	setupExpired () 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

float float swap

Definition at line 43 of file floatfloatswap.hpp.

Constructor & Destructor Documentation

◆ FloatFloatSwap() [1/2]

FloatFloatSwap	(	Swap::Type	type,
		Real	nominal1,
		Real	nominal2,
		Schedule	schedule1,
		ext::shared_ptr< InterestRateIndex >	index1,
		DayCounter	dayCount1,
		Schedule	schedule2,
		ext::shared_ptr< InterestRateIndex >	index2,
		DayCounter	dayCount2,
		bool	intermediateCapitalExchange = `false`,
		bool	finalCapitalExchange = `false`,
		Real	gearing1 = `1.0`,
		Real	spread1 = `0.0`,
		Real	cappedRate1 = `Null<Real>()`,
		Real	flooredRate1 = `Null<Real>()`,
		Real	gearing2 = `1.0`,
		Real	spread2 = `0.0`,
		Real	cappedRate2 = `Null<Real>()`,
		Real	flooredRate2 = `Null<Real>()`,
		const ext::optional< BusinessDayConvention > &	paymentConvention1 = `ext::nullopt`,
		const ext::optional< BusinessDayConvention > &	paymentConvention2 = `ext::nullopt`
	)

Definition at line 37 of file floatfloatswap.cpp.

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◆ FloatFloatSwap() [2/2]

FloatFloatSwap	(	Swap::Type	type,
		std::vector< Real >	nominal1,
		std::vector< Real >	nominal2,
		Schedule	schedule1,
		ext::shared_ptr< InterestRateIndex >	index1,
		DayCounter	dayCount1,
		Schedule	schedule2,
		ext::shared_ptr< InterestRateIndex >	index2,
		DayCounter	dayCount2,
		bool	intermediateCapitalExchange = `false`,
		bool	finalCapitalExchange = `false`,
		std::vector< Real >	gearing1 = `std::vector<Real>()`,
		std::vector< Real >	spread1 = `std::vector<Real>()`,
		std::vector< Real >	cappedRate1 = `std::vector<Real>()`,
		std::vector< Real >	flooredRate1 = `std::vector<Real>()`,
		std::vector< Real >	gearing2 = `std::vector<Real>()`,
		std::vector< Real >	spread2 = `std::vector<Real>()`,
		std::vector< Real >	cappedRate2 = `std::vector<Real>()`,
		std::vector< Real >	flooredRate2 = `std::vector<Real>()`,
		const ext::optional< BusinessDayConvention > &	paymentConvention1 = `ext::nullopt`,
		const ext::optional< BusinessDayConvention > &	paymentConvention2 = `ext::nullopt`
	)

Definition at line 77 of file floatfloatswap.cpp.

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Member Function Documentation

◆ type()

Swap::Type type ( ) const

Definition at line 187 of file floatfloatswap.hpp.

◆ nominal1()

const std::vector< Real > & nominal1 ( ) const

Definition at line 189 of file floatfloatswap.hpp.

◆ nominal2()

const std::vector< Real > & nominal2 ( ) const

Definition at line 193 of file floatfloatswap.hpp.

◆ schedule1()

const Schedule & schedule1 ( ) const

Definition at line 197 of file floatfloatswap.hpp.

◆ schedule2()

const Schedule & schedule2 ( ) const

Definition at line 201 of file floatfloatswap.hpp.

◆ index1()

const ext::shared_ptr< InterestRateIndex > & index1 ( ) const

Definition at line 206 of file floatfloatswap.hpp.

◆ index2()

const ext::shared_ptr< InterestRateIndex > & index2 ( ) const

Definition at line 211 of file floatfloatswap.hpp.

◆ spread1()

std::vector< Real > spread1 ( ) const

Definition at line 215 of file floatfloatswap.hpp.

◆ spread2()

std::vector< Real > spread2 ( ) const

Definition at line 217 of file floatfloatswap.hpp.

◆ gearing1()

std::vector< Real > gearing1 ( ) const

Definition at line 219 of file floatfloatswap.hpp.

◆ gearing2()

std::vector< Real > gearing2 ( ) const

Definition at line 221 of file floatfloatswap.hpp.

◆ cappedRate1()

std::vector< Real > cappedRate1 ( ) const

Definition at line 223 of file floatfloatswap.hpp.

◆ flooredRate1()

std::vector< Real > flooredRate1 ( ) const

Definition at line 227 of file floatfloatswap.hpp.

◆ cappedRate2()

std::vector< Real > cappedRate2 ( ) const

Definition at line 225 of file floatfloatswap.hpp.

◆ flooredRate2()

std::vector< Real > flooredRate2 ( ) const

Definition at line 229 of file floatfloatswap.hpp.

◆ dayCount1()

const DayCounter & dayCount1 ( ) const

Definition at line 231 of file floatfloatswap.hpp.

◆ dayCount2()

const DayCounter & dayCount2 ( ) const

Definition at line 235 of file floatfloatswap.hpp.

◆ paymentConvention1()

BusinessDayConvention paymentConvention1 ( ) const

Definition at line 239 of file floatfloatswap.hpp.

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◆ paymentConvention2()

BusinessDayConvention paymentConvention2 ( ) const

Definition at line 243 of file floatfloatswap.hpp.

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◆ leg1()

const Leg & leg1 ( ) const

Definition at line 247 of file floatfloatswap.hpp.

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◆ leg2()

const Leg & leg2 ( ) const

Definition at line 249 of file floatfloatswap.hpp.

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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 391 of file floatfloatswap.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 529 of file floatfloatswap.cpp.

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◆ init()

void init	(	ext::optional< BusinessDayConvention >	paymentConvention1,
		ext::optional< BusinessDayConvention >	paymentConvention2
	)

private

Definition at line 111 of file floatfloatswap.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 527 of file floatfloatswap.cpp.

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Member Data Documentation

◆ type_

Swap::Type type_

private

Definition at line 138 of file floatfloatswap.hpp.

◆ nominal1_

std::vector<Real> nominal1_

private

Definition at line 139 of file floatfloatswap.hpp.

◆ nominal2_

std::vector<Real> nominal2_

private

Definition at line 139 of file floatfloatswap.hpp.

◆ schedule1_

Schedule schedule1_

private

Definition at line 140 of file floatfloatswap.hpp.

◆ schedule2_

Schedule schedule2_

private

Definition at line 140 of file floatfloatswap.hpp.

◆ index1_

ext::shared_ptr<InterestRateIndex> index1_

private

Definition at line 141 of file floatfloatswap.hpp.

◆ index2_

ext::shared_ptr<InterestRateIndex> index2_

private

Definition at line 141 of file floatfloatswap.hpp.

◆ gearing1_

std::vector<Real> gearing1_

private

Definition at line 142 of file floatfloatswap.hpp.

◆ gearing2_

std::vector<Real> gearing2_

private

Definition at line 142 of file floatfloatswap.hpp.

◆ spread1_

std::vector<Real> spread1_

private

Definition at line 142 of file floatfloatswap.hpp.

◆ spread2_

std::vector<Real> spread2_

private

Definition at line 142 of file floatfloatswap.hpp.

◆ cappedRate1_

std::vector<Real> cappedRate1_

private

Definition at line 143 of file floatfloatswap.hpp.

◆ flooredRate1_

std::vector<Real> flooredRate1_

private

Definition at line 143 of file floatfloatswap.hpp.

◆ cappedRate2_

std::vector<Real> cappedRate2_

private

Definition at line 143 of file floatfloatswap.hpp.

◆ flooredRate2_

std::vector<Real> flooredRate2_

private

Definition at line 144 of file floatfloatswap.hpp.

◆ dayCount1_

DayCounter dayCount1_

private

Definition at line 145 of file floatfloatswap.hpp.

◆ dayCount2_

DayCounter dayCount2_

private

Definition at line 145 of file floatfloatswap.hpp.

◆ isRedemptionFlow1_

std::vector<bool> isRedemptionFlow1_

private

Definition at line 146 of file floatfloatswap.hpp.

◆ isRedemptionFlow2_

std::vector<bool> isRedemptionFlow2_

private

Definition at line 146 of file floatfloatswap.hpp.

◆ paymentConvention1_

BusinessDayConvention paymentConvention1_

private

Definition at line 147 of file floatfloatswap.hpp.

◆ paymentConvention2_

BusinessDayConvention paymentConvention2_

private

Definition at line 147 of file floatfloatswap.hpp.

◆ intermediateCapitalExchange_

const bool intermediateCapitalExchange_

private

Definition at line 148 of file floatfloatswap.hpp.

◆ finalCapitalExchange_

const bool finalCapitalExchange_

private

Definition at line 148 of file floatfloatswap.hpp.

Classes

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FloatFloatSwap() [1/2]

◆ FloatFloatSwap() [2/2]

Member Function Documentation

◆ type()

◆ nominal1()

◆ nominal2()

◆ schedule1()

◆ schedule2()

◆ index1()

◆ index2()

◆ spread1()

◆ spread2()

◆ gearing1()

◆ gearing2()

◆ cappedRate1()

◆ flooredRate1()

◆ cappedRate2()

◆ flooredRate2()

◆ dayCount1()

◆ dayCount2()

◆ paymentConvention1()

◆ paymentConvention2()

◆ leg1()

◆ leg2()

◆ setupArguments()

◆ fetchResults()

◆ init()

◆ setupExpired()

Member Data Documentation

◆ type_

◆ nominal1_

◆ nominal2_

◆ schedule1_

◆ schedule2_

◆ index1_

◆ index2_

◆ gearing1_

◆ gearing2_

◆ spread1_

◆ spread2_

◆ cappedRate1_

◆ flooredRate1_

◆ cappedRate2_

◆ flooredRate2_

◆ dayCount1_

◆ dayCount2_

◆ isRedemptionFlow1_

◆ isRedemptionFlow2_

◆ paymentConvention1_

◆ paymentConvention2_

◆ intermediateCapitalExchange_

◆ finalCapitalExchange_