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

nonstandard swap More...

#include <nonstandardswap.hpp>

+ Inheritance diagram for NonstandardSwap:
+ Collaboration diagram for NonstandardSwap:

Classes

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

Public Member Functions

 NonstandardSwap (const FixedVsFloatingSwap &fromVanilla)
 
 NonstandardSwap (Swap::Type type, std::vector< Real > fixedNominal, const std::vector< Real > &floatingNominal, Schedule fixedSchedule, std::vector< Real > fixedRate, DayCounter fixedDayCount, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Real gearing, Spread spread, DayCounter floatingDayCount, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt)
 
 NonstandardSwap (Swap::Type type, std::vector< Real > fixedNominal, std::vector< Real > floatingNominal, Schedule fixedSchedule, std::vector< Real > fixedRate, DayCounter fixedDayCount, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, std::vector< Real > gearing, std::vector< Spread > spread, DayCounter floatingDayCount, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt)
 
Inspectors
Swap::Type type () const
 
const std::vector< Real > & fixedNominal () const
 
const std::vector< Real > & floatingNominal () const
 
const SchedulefixedSchedule () const
 
const std::vector< Real > & fixedRate () const
 
const DayCounterfixedDayCount () const
 
const SchedulefloatingSchedule () const
 
const ext::shared_ptr< IborIndex > & iborIndex () const
 
Spread spread () const
 
Real gearing () const
 
const std::vector< Spread > & spreads () const
 
const std::vector< Real > & gearings () const
 
const DayCounterfloatingDayCount () const
 
BusinessDayConvention paymentConvention () 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

Swap::Type type_
 
std::vector< RealfixedNominal_
 
std::vector< RealfloatingNominal_
 
Schedule fixedSchedule_
 
std::vector< RealfixedRate_
 
DayCounter fixedDayCount_
 
Schedule floatingSchedule_
 
ext::shared_ptr< IborIndexiborIndex_
 
std::vector< Spreadspread_
 
std::vector< Realgearing_
 
bool singleSpreadAndGearing_
 
DayCounter floatingDayCount_
 
BusinessDayConvention paymentConvention_
 
const bool intermediateCapitalExchange_
 
const bool finalCapitalExchange_
 
void setupArguments (PricingEngine::arguments *args) const override
 
void fetchResults (const PricingEngine::results *) const override
 
void init ()
 
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

nonstandard swap

Definition at line 40 of file nonstandardswap.hpp.

Constructor & Destructor Documentation

◆ NonstandardSwap() [1/3]

NonstandardSwap ( const FixedVsFloatingSwap fromVanilla)
explicit

Definition at line 36 of file nonstandardswap.cpp.

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◆ NonstandardSwap() [2/3]

NonstandardSwap ( Swap::Type  type,
std::vector< Real fixedNominal,
const std::vector< Real > &  floatingNominal,
Schedule  fixedSchedule,
std::vector< Real fixedRate,
DayCounter  fixedDayCount,
Schedule  floatingSchedule,
ext::shared_ptr< IborIndex iborIndex,
Real  gearing,
Spread  spread,
DayCounter  floatingDayCount,
bool  intermediateCapitalExchange = false,
bool  finalCapitalExchange = false,
ext::optional< BusinessDayConvention paymentConvention = ext::nullopt 
)

Definition at line 58 of file nonstandardswap.cpp.

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◆ NonstandardSwap() [3/3]

NonstandardSwap ( Swap::Type  type,
std::vector< Real fixedNominal,
std::vector< Real floatingNominal,
Schedule  fixedSchedule,
std::vector< Real fixedRate,
DayCounter  fixedDayCount,
Schedule  floatingSchedule,
ext::shared_ptr< IborIndex iborIndex,
std::vector< Real gearing,
std::vector< Spread spread,
DayCounter  floatingDayCount,
bool  intermediateCapitalExchange = false,
bool  finalCapitalExchange = false,
ext::optional< BusinessDayConvention paymentConvention = ext::nullopt 
)

Definition at line 89 of file nonstandardswap.cpp.

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Member Function Documentation

◆ type()

Swap::Type type ( ) const

Definition at line 165 of file nonstandardswap.hpp.

◆ fixedNominal()

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

Definition at line 167 of file nonstandardswap.hpp.

◆ floatingNominal()

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

Definition at line 171 of file nonstandardswap.hpp.

◆ fixedSchedule()

const Schedule & fixedSchedule ( ) const

Definition at line 175 of file nonstandardswap.hpp.

◆ fixedRate()

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

Definition at line 179 of file nonstandardswap.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( ) const

Definition at line 183 of file nonstandardswap.hpp.

◆ floatingSchedule()

const Schedule & floatingSchedule ( ) const

Definition at line 187 of file nonstandardswap.hpp.

◆ iborIndex()

const ext::shared_ptr< IborIndex > & iborIndex ( ) const

Definition at line 192 of file nonstandardswap.hpp.

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◆ spread()

Spread spread ( ) const

Definition at line 196 of file nonstandardswap.hpp.

◆ gearing()

Real gearing ( ) const

Definition at line 202 of file nonstandardswap.hpp.

◆ spreads()

const std::vector< Spread > & spreads ( ) const

Definition at line 208 of file nonstandardswap.hpp.

◆ gearings()

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

Definition at line 212 of file nonstandardswap.hpp.

◆ floatingDayCount()

const DayCounter & floatingDayCount ( ) const

Definition at line 216 of file nonstandardswap.hpp.

◆ paymentConvention()

BusinessDayConvention paymentConvention ( ) const

Definition at line 220 of file nonstandardswap.hpp.

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◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 224 of file nonstandardswap.hpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

Definition at line 226 of file nonstandardswap.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 230 of file nonstandardswap.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 337 of file nonstandardswap.cpp.

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◆ init()

void init ( )
private

Definition at line 119 of file nonstandardswap.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 335 of file nonstandardswap.cpp.

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Member Data Documentation

◆ type_

Swap::Type type_
private

Definition at line 108 of file nonstandardswap.hpp.

◆ fixedNominal_

std::vector<Real> fixedNominal_
private

Definition at line 109 of file nonstandardswap.hpp.

◆ floatingNominal_

std::vector<Real> floatingNominal_
private

Definition at line 109 of file nonstandardswap.hpp.

◆ fixedSchedule_

Schedule fixedSchedule_
private

Definition at line 110 of file nonstandardswap.hpp.

◆ fixedRate_

std::vector<Real> fixedRate_
private

Definition at line 111 of file nonstandardswap.hpp.

◆ fixedDayCount_

DayCounter fixedDayCount_
private

Definition at line 112 of file nonstandardswap.hpp.

◆ floatingSchedule_

Schedule floatingSchedule_
private

Definition at line 113 of file nonstandardswap.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_
private

Definition at line 114 of file nonstandardswap.hpp.

◆ spread_

std::vector<Spread> spread_
private

Definition at line 115 of file nonstandardswap.hpp.

◆ gearing_

std::vector<Real> gearing_
private

Definition at line 116 of file nonstandardswap.hpp.

◆ singleSpreadAndGearing_

bool singleSpreadAndGearing_
private

Definition at line 117 of file nonstandardswap.hpp.

◆ floatingDayCount_

DayCounter floatingDayCount_
private

Definition at line 118 of file nonstandardswap.hpp.

◆ paymentConvention_

BusinessDayConvention paymentConvention_
private

Definition at line 119 of file nonstandardswap.hpp.

◆ intermediateCapitalExchange_

const bool intermediateCapitalExchange_
private

Definition at line 120 of file nonstandardswap.hpp.

◆ finalCapitalExchange_

const bool finalCapitalExchange_
private

Definition at line 121 of file nonstandardswap.hpp.