Interest rate swap. More...

#include <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 Leg &	leg (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 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 ()

Instrument interface
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_

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< PricingEngine >	engine_

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.

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◆ 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.

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◆ 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.

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◆ 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.

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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.

Reimplemented in YearOnYearInflationSwap.

Definition at line 87 of file swap.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.

Reimplemented in YearOnYearInflationSwap.

Definition at line 95 of file swap.cpp.

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◆ 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.

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◆ maturityDate()

Date maturityDate ( ) const

virtual

Reimplemented in ZeroCouponInflationSwap, and ZeroCouponSwap.

Definition at line 154 of file swap.cpp.

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◆ legBPS()

Real legBPS ( Size j ) const

Definition at line 82 of file swap.hpp.

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◆ legNPV()

Real legNPV ( Size j ) const

Definition at line 88 of file swap.hpp.

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◆ startDiscounts()

DiscountFactor startDiscounts ( Size j ) const

Definition at line 94 of file swap.hpp.

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◆ endDiscounts()

DiscountFactor endDiscounts ( Size j ) const

Definition at line 100 of file swap.hpp.

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◆ npvDateDiscount()

DiscountFactor npvDateDiscount ( ) const

Definition at line 106 of file swap.hpp.

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◆ leg()

const Leg & leg ( Size j ) const

Definition at line 111 of file swap.hpp.

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◆ payer()

bool payer ( Size j ) const

Definition at line 115 of file swap.hpp.

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◆ 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.

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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.

Classes

Public Types

Public Member Functions

Instrument interface

Constructors

Additional Inherited Members

Detailed Description

Member Enumeration Documentation

◆ Type

Constructor & Destructor Documentation

◆ Swap() [1/3]

◆ Swap() [2/3]

◆ Swap() [3/3]

Member Function Documentation

◆ deepUpdate()

◆ isExpired()

◆ setupArguments()

◆ fetchResults()

◆ numberOfLegs()

◆ legs()

◆ startDate()

◆ maturityDate()

◆ legBPS()

◆ legNPV()

◆ startDiscounts()

◆ endDiscounts()

◆ npvDateDiscount()

◆ leg()

◆ payer()

◆ setupExpired()

Member Data Documentation

◆ legs_

◆ payer_

◆ legNPV_

◆ legBPS_

◆ startDiscounts_

◆ endDiscounts_

◆ npvDateDiscount_