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Classes | Public Member Functions | Private Member Functions | Private Attributes | List of all members
AssetSwap Class Reference

Bullet bond vs Libor swap. More...

#include <assetswap.hpp>

+ Inheritance diagram for AssetSwap:
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Classes

class  arguments
 Arguments for asset swap calculation More...
 
class  results
 Results from simple swap calculation More...
 

Public Member Functions

 AssetSwap (bool payBondCoupon, ext::shared_ptr< Bond > bond, Real bondCleanPrice, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread, Schedule floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)
 
 AssetSwap (bool parAssetSwap, ext::shared_ptr< Bond > bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)
 
Spread fairSpread () const
 
Real floatingLegBPS () const
 
Real floatingLegNPV () const
 
Real fairCleanPrice () const
 
Real fairNonParRepayment () const
 
bool parSwap () const
 
Spread spread () const
 
Real cleanPrice () const
 
Real nonParRepayment () const
 
const ext::shared_ptr< Bond > & bond () const
 
bool payBondCoupon () const
 
const LegbondLeg () const
 
const LegfloatingLeg () 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 Legleg (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 DatevaluationDate () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 setupExpired () const override
 

Private Attributes

ext::shared_ptr< Bondbond_
 
Real bondCleanPrice_
 
Real nonParRepayment_
 
Spread spread_
 
bool parSwap_
 
Date upfrontDate_
 
Spread fairSpread_
 
Real fairCleanPrice_
 
Real fairNonParRepayment_
 

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< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, ext::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

Bullet bond vs Libor swap.

for mechanics of par asset swap and market asset swap, refer to "Introduction to Asset Swap", Lehman Brothers European Fixed Income Research - January 2000, D. O'Kane

Warning:
bondCleanPrice must be the (forward) price at the floatSchedule start date
Bug:
fair prices are not calculated correctly when using indexed coupons.

Definition at line 51 of file assetswap.hpp.

Constructor & Destructor Documentation

◆ AssetSwap() [1/2]

AssetSwap ( bool  payBondCoupon,
ext::shared_ptr< Bond bond,
Real  bondCleanPrice,
const ext::shared_ptr< IborIndex > &  iborIndex,
Spread  spread,
Schedule  floatSchedule = Schedule(),
const DayCounter floatingDayCount = DayCounter(),
bool  parAssetSwap = true 
)

Definition at line 164 of file assetswap.cpp.

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◆ AssetSwap() [2/2]

AssetSwap ( bool  parAssetSwap,
ext::shared_ptr< Bond bond,
Real  bondCleanPrice,
Real  nonParRepayment,
Real  gearing,
const ext::shared_ptr< IborIndex > &  iborIndex,
Spread  spread = 0.0,
const DayCounter floatingDayCount = DayCounter(),
Date  dealMaturity = Date(),
bool  payBondCoupon = false 
)

Definition at line 35 of file assetswap.cpp.

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Member Function Documentation

◆ fairSpread()

Spread fairSpread ( ) const

Definition at line 318 of file assetswap.cpp.

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◆ floatingLegBPS()

Real floatingLegBPS ( ) const

Definition at line 331 of file assetswap.cpp.

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◆ floatingLegNPV()

Real floatingLegNPV ( ) const

Definition at line 338 of file assetswap.cpp.

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◆ fairCleanPrice()

Real fairCleanPrice ( ) const

Definition at line 345 of file assetswap.cpp.

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◆ fairNonParRepayment()

Real fairNonParRepayment ( ) const

Definition at line 367 of file assetswap.cpp.

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◆ parSwap()

bool parSwap ( ) const

Definition at line 82 of file assetswap.hpp.

◆ spread()

Spread spread ( ) const

Definition at line 83 of file assetswap.hpp.

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◆ cleanPrice()

Real cleanPrice ( ) const

Definition at line 84 of file assetswap.hpp.

◆ nonParRepayment()

Real nonParRepayment ( ) const

Definition at line 85 of file assetswap.hpp.

◆ bond()

const ext::shared_ptr< Bond > & bond ( ) const

Definition at line 86 of file assetswap.hpp.

◆ payBondCoupon()

bool payBondCoupon ( ) const

Definition at line 87 of file assetswap.hpp.

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◆ bondLeg()

const Leg & bondLeg ( ) const

Definition at line 88 of file assetswap.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 89 of file assetswap.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 272 of file assetswap.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 388 of file assetswap.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 381 of file assetswap.cpp.

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Member Data Documentation

◆ bond_

ext::shared_ptr<Bond> bond_
private

Definition at line 96 of file assetswap.hpp.

◆ bondCleanPrice_

Real bondCleanPrice_
private

Definition at line 97 of file assetswap.hpp.

◆ nonParRepayment_

Real nonParRepayment_
private

Definition at line 97 of file assetswap.hpp.

◆ spread_

Spread spread_
private

Definition at line 98 of file assetswap.hpp.

◆ parSwap_

bool parSwap_
private

Definition at line 99 of file assetswap.hpp.

◆ upfrontDate_

Date upfrontDate_
private

Definition at line 100 of file assetswap.hpp.

◆ fairSpread_

Spread fairSpread_
mutableprivate

Definition at line 102 of file assetswap.hpp.

◆ fairCleanPrice_

Real fairCleanPrice_
mutableprivate

Definition at line 103 of file assetswap.hpp.

◆ fairNonParRepayment_

Real fairNonParRepayment_
private

Definition at line 103 of file assetswap.hpp.