QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
Classes | Public Types | List of all members
Swap Class Reference

Interest rate swap. More...

#include <ql/instruments/swap.hpp>

+ Inheritance diagram for Swap:
+ Collaboration diagram for Swap:

Classes

class  arguments
 
class  engine
 
class  results
 

Public Types

enum  Type { Receiver = -1 , Payer = 1 }
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

Observable interface
void deepUpdate () override
 
Additional interface
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
 
- 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 >
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 ()
 

Instrument interface

std::vector< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
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
 
void setupExpired () const override
 

Constructors

 Swap (const Leg &firstLeg, const Leg &secondLeg)
 
 Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
 
 Swap (Size legs)
 

Additional Inherited Members

- Protected Member Functions inherited from Instrument
void calculate () const override
 
void performCalculations () const override
 
- Protected Member Functions inherited from LazyObject
- 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

Interest rate swap.

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Definition at line 41 of file swap.hpp.

Member Enumeration Documentation

◆ Type

enum Type

In most cases, the swap has just two legs and can be defined as receiver or payer.

Its type is usually defined with respect to the leg paying a fixed rate; derived swap classes will document any exceptions to the rule.

Enumerator
Receiver 
Payer 

Definition at line 50 of file swap.hpp.

Constructor & Destructor Documentation

◆ Swap() [1/3]

Swap ( const Leg firstLeg,
const Leg secondLeg 
)

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Definition at line 30 of file swap.cpp.

+ Here is the call graph for this function:

◆ Swap() [2/3]

Swap ( const std::vector< Leg > &  legs,
const std::vector< bool > &  payer 
)

Multi leg constructor.

Definition at line 46 of file swap.cpp.

+ Here is the call graph for this function:

◆ Swap() [3/3]

Swap ( Size  legs)
protected

This constructor can be used by derived classes that will build their legs themselves.

Definition at line 62 of file swap.cpp.

Member Function Documentation

◆ deepUpdate()

void deepUpdate ( )
overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 162 of file swap.cpp.

+ Here is the call graph for this function:

◆ isExpired()

bool isExpired ( ) const
overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 68 of file swap.cpp.

+ Here is the call graph for this function:

◆ 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.

Reimplemented in YearOnYearInflationSwap.

Definition at line 87 of file swap.cpp.

+ Here is the caller graph for this function:

◆ 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.

Reimplemented in YearOnYearInflationSwap.

Definition at line 95 of file swap.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ numberOfLegs()

Size numberOfLegs ( ) const

Definition at line 142 of file swap.cpp.

◆ legs()

const std::vector< Leg > & legs ( ) const

Definition at line 144 of file swap.cpp.

◆ startDate()

Date startDate ( ) const
virtual

Reimplemented in ZeroCouponInflationSwap, and ZeroCouponSwap.

Definition at line 146 of file swap.cpp.

+ Here is the call graph for this function:

◆ maturityDate()

Date maturityDate ( ) const
virtual

Reimplemented in ZeroCouponInflationSwap, and ZeroCouponSwap.

Definition at line 154 of file swap.cpp.

+ Here is the call graph for this function:

◆ legBPS()

Real legBPS ( Size  j) const

Definition at line 82 of file swap.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ legNPV()

Real legNPV ( Size  j) const

Definition at line 88 of file swap.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ startDiscounts()

DiscountFactor startDiscounts ( Size  j) const

Definition at line 94 of file swap.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ endDiscounts()

DiscountFactor endDiscounts ( Size  j) const

Definition at line 100 of file swap.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ npvDateDiscount()

DiscountFactor npvDateDiscount ( ) const

Definition at line 106 of file swap.hpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ leg()

const Leg & leg ( Size  j) const

Definition at line 111 of file swap.hpp.

+ Here is the caller graph for this function:

◆ payer()

bool payer ( Size  j) const

Definition at line 115 of file swap.hpp.

+ Here is the caller graph for this function:

◆ setupExpired()

void setupExpired ( ) const
overrideprotectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

Reimplemented in YearOnYearInflationSwap.

Definition at line 78 of file swap.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

Member Data Documentation

◆ legs_

std::vector<Leg> legs_
protected

Definition at line 133 of file swap.hpp.

◆ payer_

std::vector<Real> payer_
protected

Definition at line 134 of file swap.hpp.

◆ legNPV_

std::vector<Real> legNPV_
mutableprotected

Definition at line 135 of file swap.hpp.

◆ legBPS_

std::vector<Real> legBPS_
mutableprotected

Definition at line 136 of file swap.hpp.

◆ startDiscounts_

std::vector<DiscountFactor> startDiscounts_
mutableprotected

Definition at line 137 of file swap.hpp.

◆ endDiscounts_

std::vector<DiscountFactor> endDiscounts_
protected

Definition at line 137 of file swap.hpp.

◆ npvDateDiscount_

DiscountFactor npvDateDiscount_
mutableprotected

Definition at line 138 of file swap.hpp.