QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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nonstandard swap More...
#include <nonstandardswap.hpp>
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 Schedule & | fixedSchedule () const |
const std::vector< Real > & | fixedRate () const |
const DayCounter & | fixedDayCount () const |
const Schedule & | floatingSchedule () 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 DayCounter & | floatingDayCount () const |
BusinessDayConvention | paymentConvention () const |
const Leg & | fixedLeg () const |
const Leg & | floatingLeg () 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 | |
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< Spread > | spread_ |
std::vector< Real > | gearing_ |
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< 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_ |
nonstandard swap
Definition at line 40 of file nonstandardswap.hpp.
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explicit |
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 , |
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bool | finalCapitalExchange = false , |
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ext::optional< BusinessDayConvention > | paymentConvention = ext::nullopt |
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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 , |
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bool | finalCapitalExchange = false , |
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ext::optional< BusinessDayConvention > | paymentConvention = ext::nullopt |
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Swap::Type type | ( | ) | const |
Definition at line 165 of file nonstandardswap.hpp.
const std::vector< Real > & fixedNominal | ( | ) | const |
Definition at line 167 of file nonstandardswap.hpp.
const std::vector< Real > & floatingNominal | ( | ) | const |
Definition at line 171 of file nonstandardswap.hpp.
const Schedule & fixedSchedule | ( | ) | const |
Definition at line 175 of file nonstandardswap.hpp.
const std::vector< Real > & fixedRate | ( | ) | const |
Definition at line 179 of file nonstandardswap.hpp.
const DayCounter & fixedDayCount | ( | ) | const |
Definition at line 183 of file nonstandardswap.hpp.
const Schedule & floatingSchedule | ( | ) | const |
Definition at line 187 of file nonstandardswap.hpp.
const ext::shared_ptr< IborIndex > & iborIndex | ( | ) | const |
Spread spread | ( | ) | const |
Definition at line 196 of file nonstandardswap.hpp.
Real gearing | ( | ) | const |
Definition at line 202 of file nonstandardswap.hpp.
const std::vector< Spread > & spreads | ( | ) | const |
Definition at line 208 of file nonstandardswap.hpp.
const std::vector< Real > & gearings | ( | ) | const |
Definition at line 212 of file nonstandardswap.hpp.
const DayCounter & floatingDayCount | ( | ) | const |
Definition at line 216 of file nonstandardswap.hpp.
BusinessDayConvention paymentConvention | ( | ) | const |
const Leg & fixedLeg | ( | ) | 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 230 of file nonstandardswap.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 337 of file nonstandardswap.cpp.
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private |
Definition at line 119 of file nonstandardswap.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 335 of file nonstandardswap.cpp.
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private |
Definition at line 108 of file nonstandardswap.hpp.
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Definition at line 109 of file nonstandardswap.hpp.
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Definition at line 109 of file nonstandardswap.hpp.
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Definition at line 110 of file nonstandardswap.hpp.
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Definition at line 111 of file nonstandardswap.hpp.
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Definition at line 112 of file nonstandardswap.hpp.
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Definition at line 113 of file nonstandardswap.hpp.
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Definition at line 114 of file nonstandardswap.hpp.
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Definition at line 115 of file nonstandardswap.hpp.
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Definition at line 116 of file nonstandardswap.hpp.
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Definition at line 117 of file nonstandardswap.hpp.
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Definition at line 118 of file nonstandardswap.hpp.
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Definition at line 119 of file nonstandardswap.hpp.
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Definition at line 120 of file nonstandardswap.hpp.
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Definition at line 121 of file nonstandardswap.hpp.