QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Risky asset-swap instrument. More...
#include <riskyassetswap.hpp>
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 |
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_ |
Risky asset-swap instrument.
Definition at line 36 of file riskyassetswap.hpp.
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>() |
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Real fairSpread | ( | ) |
Real floatAnnuity | ( | ) | const |
Definition at line 82 of file riskyassetswap.cpp.
Real nominal | ( | ) | const |
Definition at line 54 of file riskyassetswap.hpp.
Rate spread | ( | ) | const |
Definition at line 55 of file riskyassetswap.hpp.
bool fixedPayer | ( | ) | const |
Definition at line 56 of file riskyassetswap.hpp.
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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 53 of file riskyassetswap.cpp.
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overrideprivatevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 47 of file riskyassetswap.cpp.
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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.
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private |
Definition at line 93 of file riskyassetswap.cpp.
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Definition at line 104 of file riskyassetswap.cpp.
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private |
Definition at line 111 of file riskyassetswap.cpp.
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Definition at line 141 of file riskyassetswap.cpp.
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mutableprivate |
Definition at line 69 of file riskyassetswap.hpp.
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mutableprivate |
Definition at line 70 of file riskyassetswap.hpp.
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mutableprivate |
Definition at line 71 of file riskyassetswap.hpp.
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mutableprivate |
Definition at line 72 of file riskyassetswap.hpp.
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mutableprivate |
Definition at line 73 of file riskyassetswap.hpp.
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Definition at line 76 of file riskyassetswap.hpp.
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Definition at line 77 of file riskyassetswap.hpp.
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Definition at line 78 of file riskyassetswap.hpp.
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Definition at line 78 of file riskyassetswap.hpp.
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Definition at line 79 of file riskyassetswap.hpp.
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Definition at line 79 of file riskyassetswap.hpp.
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Definition at line 80 of file riskyassetswap.hpp.
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Definition at line 81 of file riskyassetswap.hpp.
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private |
Definition at line 82 of file riskyassetswap.hpp.
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private |
Definition at line 83 of file riskyassetswap.hpp.
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mutableprivate |
Definition at line 84 of file riskyassetswap.hpp.