Zero-coupon interest rate swap. More...

#include <zerocouponswap.hpp>

Inheritance diagram for ZeroCouponSwap:

Collaboration diagram for ZeroCouponSwap:

Public Member Functions
	ZeroCouponSwap (Type type, Real baseNominal, const Date &startDate, const Date &maturityDate, Real fixedPayment, ext::shared_ptr< IborIndex > iborIndex, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=Following, Natural paymentDelay=0)

	ZeroCouponSwap (Type type, Real baseNominal, const Date &startDate, const Date &maturityDate, Rate fixedRate, const DayCounter &fixedDayCounter, ext::shared_ptr< IborIndex > iborIndex, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=Following, Natural paymentDelay=0)

Inspectors
Type	type () const
	"payer" or "receiver" refer to the fixed leg. More...

Real	baseNominal () const

Date	startDate () const override

Date	maturityDate () const override

const ext::shared_ptr< IborIndex > &	iborIndex () const

const Leg &	fixedLeg () const
	just one cashflow in each leg More...

const Leg &	floatingLeg () const
	just one cashflow in each leg More...

Real	fixedPayment () const

Public Member Functions inherited from Swap
void	deepUpdate () override

Size	numberOfLegs () const

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

Real	baseNominal_

ext::shared_ptr< IborIndex >	iborIndex_

Date	startDate_

Date	maturityDate_

Date	paymentDate_

Real	fixedLegNPV () const

Real	floatingLegNPV () const

Real	fairFixedPayment () const

Rate	fairFixedRate (const DayCounter &dayCounter) const

	ZeroCouponSwap (Type type, Real baseNominal, const Date &startDate, const Date &maturityDate, ext::shared_ptr< IborIndex > iborIndex, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention, Natural paymentDelay)

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_

Detailed Description

Zero-coupon interest rate swap.

Quoted in terms of a known fixed cash flow \( N^{FIX} \) or a fixed rate \( R \), where:

\[ N^{FIX} = N \left[ (1+R)^{\alpha(T_{0}, T_{K})}-1 \right] , \]

with \( \alpha(T_{0}, T_{K}) \) being the time fraction between the start date of the contract \( T_{0} \) and the end date \( T_{K} \) - according to a given day count convention. \( N \) is the base notional amount prior to compounding. The floating leg also pays a single cash flow \( N^{FLT} \), which value is determined by periodically averaging (e.g. every 6 months) interest rate index fixings. Assuming the use of compounded averaging the projected value of the floating leg becomes:

\[ N^{FLT} = N \left[ \prod_{k=0}^{K-1} (1+\alpha(T_{k},T_{k+1}) L(T_{k},T_{k+1})) -1 \right], \]

where \( L(T_{i}, T_{j})) \) are interest rate index fixings for accrual period \( [T_{i}, T_{j}] \). For a par contract, it holds that:

\[ P_n(0,T) N^{FIX} = P_n(0,T) N^{FLT} \]

where \( T \) is the final payment time, \( P_n(0,t) \) is the nominal discount factor at time \( t \).

At maturity the two single cashflows are swapped.

Note: we do not need Schedules on the legs because they use one or two dates only per leg. Those dates are not adjusted for potential non-business days. Only the payment date is subject to adjustment.

Definition at line 71 of file zerocouponswap.hpp.

Constructor & Destructor Documentation

◆ ZeroCouponSwap() [1/3]

ZeroCouponSwap	(	Type	type,
		Real	baseNominal,
		const Date &	startDate,
		const Date &	maturityDate,
		Real	fixedPayment,
		ext::shared_ptr< IborIndex >	iborIndex,
		const Calendar &	paymentCalendar,
		BusinessDayConvention	paymentConvention = `Following`,
		Natural	paymentDelay = `0`
	)

Definition at line 82 of file zerocouponswap.cpp.

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◆ ZeroCouponSwap() [2/3]

ZeroCouponSwap	(	Type	type,
		Real	baseNominal,
		const Date &	startDate,
		const Date &	maturityDate,
		Rate	fixedRate,
		const DayCounter &	fixedDayCounter,
		ext::shared_ptr< IborIndex >	iborIndex,
		const Calendar &	paymentCalendar,
		BusinessDayConvention	paymentConvention = `Following`,
		Natural	paymentDelay = `0`
	)

Definition at line 104 of file zerocouponswap.cpp.

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◆ ZeroCouponSwap() [3/3]

ZeroCouponSwap	(	Type	type,
		Real	baseNominal,
		const Date &	startDate,
		const Date &	maturityDate,
		ext::shared_ptr< IborIndex >	iborIndex,
		const Calendar &	paymentCalendar,
		BusinessDayConvention	paymentConvention,
		Natural	paymentDelay
	)

private

Definition at line 44 of file zerocouponswap.cpp.

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Member Function Documentation

◆ type()

Type type ( ) const

"payer" or "receiver" refer to the fixed leg.

Definition at line 97 of file zerocouponswap.hpp.

◆ baseNominal()

Real baseNominal ( ) const

Definition at line 98 of file zerocouponswap.hpp.

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◆ startDate()

Date startDate ( ) const

overridevirtual

Reimplemented from Swap.

Definition at line 99 of file zerocouponswap.hpp.

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◆ maturityDate()

Date maturityDate ( ) const

overridevirtual

Reimplemented from Swap.

Definition at line 100 of file zerocouponswap.hpp.

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◆ iborIndex()

const ext::shared_ptr< IborIndex > & iborIndex ( ) const

Definition at line 101 of file zerocouponswap.hpp.

◆ fixedLeg()

const Leg & fixedLeg ( ) const

just one cashflow in each leg

Definition at line 158 of file zerocouponswap.cpp.

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◆ floatingLeg()

const Leg & floatingLeg ( ) const

just one cashflow in each leg

Definition at line 160 of file zerocouponswap.cpp.

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◆ fixedPayment()

Real fixedPayment ( ) const

Definition at line 162 of file zerocouponswap.cpp.

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◆ fixedLegNPV()

Real fixedLegNPV ( ) const

Definition at line 128 of file zerocouponswap.cpp.

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◆ floatingLegNPV()

Real floatingLegNPV ( ) const

Definition at line 132 of file zerocouponswap.cpp.

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◆ fairFixedPayment()

Real fairFixedPayment ( ) const

Definition at line 136 of file zerocouponswap.cpp.

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◆ fairFixedRate()

Rate fairFixedRate ( const DayCounter & dayCounter ) const

Definition at line 147 of file zerocouponswap.cpp.

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Member Data Documentation

◆ type_

Type type_

private

Definition at line 129 of file zerocouponswap.hpp.

◆ baseNominal_

Real baseNominal_

private

Definition at line 130 of file zerocouponswap.hpp.

◆ iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 131 of file zerocouponswap.hpp.

◆ startDate_

Date startDate_

private

Definition at line 132 of file zerocouponswap.hpp.

◆ maturityDate_

Date maturityDate_

private

Definition at line 133 of file zerocouponswap.hpp.

◆ paymentDate_

Date paymentDate_

private

Definition at line 134 of file zerocouponswap.hpp.

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ZeroCouponSwap() [1/3]

◆ ZeroCouponSwap() [2/3]

◆ ZeroCouponSwap() [3/3]

Member Function Documentation

◆ type()

◆ baseNominal()

◆ startDate()

◆ maturityDate()

◆ iborIndex()

◆ fixedLeg()

◆ floatingLeg()

◆ fixedPayment()

◆ fixedLegNPV()

◆ floatingLegNPV()

◆ fairFixedPayment()

◆ fairFixedRate()

Member Data Documentation

◆ type_

◆ baseNominal_

◆ iborIndex_

◆ startDate_

◆ maturityDate_

◆ paymentDate_