Bullet bond vs Libor swap. More...

#include <ql/instruments/assetswap.hpp>

Inheritance diagram for AssetSwap:

Classes
class	arguments
	Arguments for asset swap calculation More...

class	results
	Results from simple swap calculation More...

Public Member Functions
	AssetSwap (bool payBondCoupon, const ext::shared_ptr< Bond > &bond, Real bondCleanPrice, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)

	AssetSwap (bool parAssetSwap, const ext::shared_ptr< Bond > &bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const ext::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)

Spread	fairSpread () const

Real	floatingLegBPS () const

Real	floatingLegNPV () const

Real	fairCleanPrice () const

Real	fairNonParRepayment () const

bool	parSwap () const

Spread	spread () const

Real	cleanPrice () const

Real	nonParRepayment () const

const ext::shared_ptr< Bond > &	bond () const

bool	payBondCoupon () const

const Leg &	bondLeg () const

const Leg &	floatingLeg () const

void	setupArguments (PricingEngine::arguments *args) const

void	fetchResults (const PricingEngine::results *) const

Public Member Functions inherited from Swap
void	deepUpdate ()

Date	startDate () const

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

bool	isExpired () const
	returns whether the instrument might have value greater than zero.

void	setupArguments (PricingEngine::arguments *) const

void	fetchResults (const PricingEngine::results *) const

	Swap (const Leg &firstLeg, const Leg &secondLeg)

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

Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.

Real	errorEstimate () const
	returns the error estimate on the NPV when available.

const Date &	valuationDate () const
	returns the date the net present value refers to.

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.

const std::map< std::string, boost::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

Public Member Functions inherited from LazyObject
void	update ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

void	alwaysForwardNotifications ()

Public Member Functions inherited from Observable
	Observable (const Observable &)

Observable &	operator= (const Observable &)

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer (const Observer &)

Observer &	operator= (const 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 ()

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type

typedef set_type::iterator	iterator

Protected Member Functions inherited from Swap
void	setupExpired () const

	Swap (Size legs)

Protected Member Functions inherited from Instrument
void	calculate () const

virtual void	performCalculations () const

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, boost::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_

bool	frozen_

bool	alwaysForward_

Detailed Description

Bullet bond vs Libor swap.

for mechanics of par asset swap and market asset swap, refer to "Introduction to Asset Swap", Lehman Brothers European Fixed Income Research - January 2000, D. O'Kane

Warning:: bondCleanPrice must be the (forward) price at the floatSchedule start date

Bug:: fair prices are not calculated correctly when using indexed coupons.

Member Function Documentation

◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

virtual

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.

◆ fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

virtual

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.

Classes

Public Member Functions

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ setupArguments()

◆ fetchResults()