QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Bullet bond vs Libor swap. More...
#include <assetswap.hpp>
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 Leg & | bondLeg () const |
const Leg & | floatingLeg () 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 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 () |
Private Member Functions | |
void | setupExpired () const override |
Private Attributes | |
ext::shared_ptr< Bond > | bond_ |
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< 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_ |
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
Definition at line 51 of file assetswap.hpp.
Spread fairSpread | ( | ) | const |
Definition at line 318 of file assetswap.cpp.
Real floatingLegBPS | ( | ) | const |
Real floatingLegNPV | ( | ) | const |
Real fairCleanPrice | ( | ) | const |
Definition at line 345 of file assetswap.cpp.
Real fairNonParRepayment | ( | ) | const |
Definition at line 367 of file assetswap.cpp.
bool parSwap | ( | ) | const |
Definition at line 82 of file assetswap.hpp.
Spread spread | ( | ) | const |
Real cleanPrice | ( | ) | const |
Definition at line 84 of file assetswap.hpp.
Real nonParRepayment | ( | ) | const |
Definition at line 85 of file assetswap.hpp.
const ext::shared_ptr< Bond > & bond | ( | ) | const |
Definition at line 86 of file assetswap.hpp.
bool payBondCoupon | ( | ) | const |
const Leg & bondLeg | ( | ) | const |
const Leg & floatingLeg | ( | ) | const |
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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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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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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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private |
Definition at line 96 of file assetswap.hpp.
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private |
Definition at line 97 of file assetswap.hpp.
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private |
Definition at line 97 of file assetswap.hpp.
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private |
Definition at line 98 of file assetswap.hpp.
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private |
Definition at line 99 of file assetswap.hpp.
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private |
Definition at line 100 of file assetswap.hpp.
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mutableprivate |
Definition at line 102 of file assetswap.hpp.
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mutableprivate |
Definition at line 103 of file assetswap.hpp.
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private |
Definition at line 103 of file assetswap.hpp.