swap paying Libor against BMA coupons More...
#include <bmaswap.hpp>
Inheritance diagram for BMASwap:
Collaboration diagram for BMASwap:
Public Member Functions | |
| BMASwap (Type type, Real nominal, Schedule liborSchedule, Rate liborFraction, Rate liborSpread, const ext::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, Schedule bmaSchedule, const ext::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount) | |
Inspectors | |
| Real | liborFraction () const |
| Spread | liborSpread () const |
| Real | nominal () const |
| Type | type () const |
| "Payer" or "Receiver" refers to the BMA leg More... | |
| const Leg & | bmaLeg () const |
| const Leg & | liborLeg () 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 | |
| Type | type_ |
| Real | nominal_ |
| Rate | liborFraction_ |
| Rate | liborSpread_ |
| Real | liborLegBPS () const |
| Real | liborLegNPV () const |
| Rate | fairLiborFraction () const |
| Spread | fairLiborSpread () const |
| Real | bmaLegBPS () const |
| Real | bmaLegNPV () const |
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
swap paying Libor against BMA coupons
Definition at line 35 of file bmaswap.hpp.
Constructor & Destructor Documentation
◆ BMASwap()
| BMASwap | ( | Type | type, |
| Real | nominal, | ||
| Schedule | liborSchedule, | ||
| Rate | liborFraction, | ||
| Rate | liborSpread, | ||
| const ext::shared_ptr< IborIndex > & | liborIndex, | ||
| const DayCounter & | liborDayCount, | ||
| Schedule | bmaSchedule, | ||
| const ext::shared_ptr< BMAIndex > & | bmaIndex, | ||
| const DayCounter & | bmaDayCount | ||
| ) |
In this constructor, the type (Payer or Receiver) refers to the BMA leg.
Definition at line 27 of file bmaswap.cpp.
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Member Function Documentation
◆ liborFraction()
| Real liborFraction | ( | ) | const |
◆ liborSpread()
| Spread liborSpread | ( | ) | const |
◆ nominal()
| Real nominal | ( | ) | const |
◆ type()
| Swap::Type type | ( | ) | const |
"Payer" or "Receiver" refers to the BMA leg
Definition at line 91 of file bmaswap.cpp.
◆ bmaLeg()
| const Leg & bmaLeg | ( | ) | const |
Definition at line 99 of file bmaswap.cpp.
◆ liborLeg()
| const Leg & liborLeg | ( | ) | const |
Definition at line 95 of file bmaswap.cpp.
◆ liborLegBPS()
| Real liborLegBPS | ( | ) | const |
Definition at line 104 of file bmaswap.cpp.
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◆ liborLegNPV()
| Real liborLegNPV | ( | ) | const |
Definition at line 110 of file bmaswap.cpp.
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◆ fairLiborFraction()
| Real fairLiborFraction | ( | ) | const |
◆ fairLiborSpread()
| Spread fairLiborSpread | ( | ) | const |
◆ bmaLegBPS()
| Real bmaLegBPS | ( | ) | const |
◆ bmaLegNPV()
| Real bmaLegNPV | ( | ) | const |
Definition at line 138 of file bmaswap.cpp.
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Member Data Documentation
◆ type_
|
private |
Definition at line 76 of file bmaswap.hpp.
◆ nominal_
|
private |
Definition at line 77 of file bmaswap.hpp.
◆ liborFraction_
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private |
Definition at line 78 of file bmaswap.hpp.
◆ liborSpread_
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private |
Definition at line 79 of file bmaswap.hpp.