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Classes | Public Member Functions | List of all members
IrregularSwap Class Reference

Irregular swap: fixed vs floating leg. More...

#include <irregularswap.hpp>

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Classes

class  arguments
 Arguments for irregular-swap calculation More...
 
class  engine
 
class  results
 Results from irregular-swap calculation More...
 

Public Member Functions

 IrregularSwap (Type type, const Leg &fixLeg, const Leg &floatLeg)
 
Inspectors
Type type () const
 
const LegfixedLeg () const
 
const LegfloatingLeg () 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 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 ()
 

Results

Type type_
 
Rate fairRate_
 
Spread fairSpread_
 
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
 

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

Irregular swap: fixed vs floating leg.

Definition at line 41 of file irregularswap.hpp.

Constructor & Destructor Documentation

◆ IrregularSwap()

IrregularSwap ( Type  type,
const Leg fixLeg,
const Leg floatLeg 
)

Definition at line 34 of file irregularswap.cpp.

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Member Function Documentation

◆ type()

Swap::Type type ( ) const

Definition at line 119 of file irregularswap.hpp.

◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 123 of file irregularswap.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 127 of file irregularswap.hpp.

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◆ fixedLegBPS()

Real fixedLegBPS ( ) const

Definition at line 143 of file irregularswap.cpp.

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◆ fixedLegNPV()

Real fixedLegNPV ( ) const

Definition at line 155 of file irregularswap.cpp.

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◆ fairRate()

Rate fairRate ( ) const

Definition at line 131 of file irregularswap.cpp.

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◆ floatingLegBPS()

Real floatingLegBPS ( ) const

Definition at line 149 of file irregularswap.cpp.

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◆ floatingLegNPV()

Real floatingLegNPV ( ) const

Definition at line 161 of file irregularswap.cpp.

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◆ fairSpread()

Spread fairSpread ( ) const

Definition at line 137 of file irregularswap.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 69 of file irregularswap.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 174 of file irregularswap.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 167 of file irregularswap.cpp.

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Member Data Documentation

◆ type_

Type type_
private

Definition at line 74 of file irregularswap.hpp.

◆ fairRate_

Rate fairRate_
mutableprivate

Definition at line 77 of file irregularswap.hpp.

◆ fairSpread_

Spread fairSpread_
mutableprivate

Definition at line 78 of file irregularswap.hpp.