RiskyAssetSwap Class Reference

Risky asset-swap instrument. More...

#include <ql/experimental/credit/riskyassetswap.hpp>

Inheritance diagram for RiskyAssetSwap:

Collaboration diagram for RiskyAssetSwap:

Public Member Functions
	RiskyAssetSwap (bool fixedPayer, Real nominal, Schedule fixedSchedule, Schedule floatSchedule, DayCounter fixedDayCounter, DayCounter floatDayCounter, Rate spread, Rate recoveryRate_, Handle< YieldTermStructure > yieldTS, Handle< DefaultProbabilityTermStructure > defaultTS, Rate coupon=Null< Rate >())
Real	fairSpread ()
Real	floatAnnuity () const
Real	nominal () const
Rate	spread () const
bool	fixedPayer () 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...
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
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 ()

Private Member Functions
void	setupExpired () const override
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
void	performCalculations () const override
Real	fixedAnnuity () const
Real	parCoupon () const
Real	recoveryValue () const
Real	riskyBondPrice () const

Private Attributes
Real	fixedAnnuity_
Real	floatAnnuity_
Real	parCoupon_
Real	recoveryValue_
Real	riskyBondPrice_
bool	fixedPayer_
Real	nominal_
Schedule	fixedSchedule_
Schedule	floatSchedule_
DayCounter	fixedDayCounter_
DayCounter	floatDayCounter_
Rate	spread_
Rate	recoveryRate_
Handle< YieldTermStructure >	yieldTS_
Handle< DefaultProbabilityTermStructure >	defaultTS_
Real	coupon_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
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

Risky asset-swap instrument.

Definition at line 36 of file riskyassetswap.hpp.

Constructor & Destructor Documentation

RiskyAssetSwap()

RiskyAssetSwap	(	bool	fixedPayer,
		Real	nominal,
		Schedule	fixedSchedule,
		Schedule	floatSchedule,
		DayCounter	fixedDayCounter,
		DayCounter	floatDayCounter,
		Rate	spread,
		Rate	recoveryRate_,
		Handle< YieldTermStructure >	yieldTS,
		Handle< DefaultProbabilityTermStructure >	defaultTS,
		Rate	coupon = Null<Rate>()
	)

Definition at line 27 of file riskyassetswap.cpp.

Here is the call graph for this function:

Member Function Documentation

fairSpread()

Real fairSpread

(

)

Definition at line 159 of file riskyassetswap.cpp.

Here is the call graph for this function:

floatAnnuity()

Real floatAnnuity

(

)

const

Definition at line 82 of file riskyassetswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

nominal()

Real nominal

(

)

const

Definition at line 54 of file riskyassetswap.hpp.

spread()

Rate spread

(

)

const

Definition at line 55 of file riskyassetswap.hpp.

fixedPayer()

bool fixedPayer

(

)

const

Definition at line 56 of file riskyassetswap.hpp.

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 53 of file riskyassetswap.cpp.

Here is the call graph for this function:

isExpired()

bool isExpired ( ) const

overrideprivatevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 47 of file riskyassetswap.cpp.

Here is the call graph for this function:

performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 58 of file riskyassetswap.cpp.

Here is the call graph for this function:

fixedAnnuity()

Real fixedAnnuity ( ) const

private

Definition at line 93 of file riskyassetswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

parCoupon()

Real parCoupon ( ) const

private

Definition at line 104 of file riskyassetswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

recoveryValue()

Real recoveryValue ( ) const

private

Definition at line 111 of file riskyassetswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

riskyBondPrice()

Real riskyBondPrice ( ) const

private

Definition at line 141 of file riskyassetswap.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

fixedAnnuity_

Real fixedAnnuity_

mutableprivate

Definition at line 69 of file riskyassetswap.hpp.

floatAnnuity_

Real floatAnnuity_

mutableprivate

Definition at line 70 of file riskyassetswap.hpp.

parCoupon_

Real parCoupon_

mutableprivate

Definition at line 71 of file riskyassetswap.hpp.

recoveryValue_

Real recoveryValue_

mutableprivate

Definition at line 72 of file riskyassetswap.hpp.

riskyBondPrice_

Real riskyBondPrice_

mutableprivate

Definition at line 73 of file riskyassetswap.hpp.

fixedPayer_

bool fixedPayer_

private

Definition at line 76 of file riskyassetswap.hpp.

nominal_

Real nominal_

private

Definition at line 77 of file riskyassetswap.hpp.

fixedSchedule_

Schedule fixedSchedule_

private

Definition at line 78 of file riskyassetswap.hpp.

floatSchedule_

Schedule floatSchedule_

private

Definition at line 78 of file riskyassetswap.hpp.

fixedDayCounter_

DayCounter fixedDayCounter_

private

Definition at line 79 of file riskyassetswap.hpp.

floatDayCounter_

DayCounter floatDayCounter_

private

Definition at line 79 of file riskyassetswap.hpp.

spread_

Rate spread_

private

Definition at line 80 of file riskyassetswap.hpp.

recoveryRate_

Rate recoveryRate_

private

Definition at line 81 of file riskyassetswap.hpp.

yieldTS_

Handle<YieldTermStructure> yieldTS_

private

Definition at line 82 of file riskyassetswap.hpp.

defaultTS_

Handle<DefaultProbabilityTermStructure> defaultTS_

private

Definition at line 83 of file riskyassetswap.hpp.

coupon_

Real coupon_

mutableprivate

Definition at line 84 of file riskyassetswap.hpp.