A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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float float swap More...
#include <ql/instruments/floatfloatswap.hpp>
Inheritance diagram for FloatFloatSwap:Classes | |
| class | arguments |
| Arguments for float float swap calculation More... | |
| class | results |
| Results from float float swap calculation More... | |
Public Member Functions | |
| FloatFloatSwap (VanillaSwap::Type type, Real nominal1, Real nominal2, const Schedule &schedule1, const ext::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const ext::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, Real gearing1=1.0, Real spread1=0.0, Real cappedRate1=Null< Real >(), Real flooredRate1=Null< Real >(), Real gearing2=1.0, Real spread2=0.0, Real cappedRate2=Null< Real >(), Real flooredRate2=Null< Real >(), const boost::optional< BusinessDayConvention > &paymentConvention1=boost::none, const boost::optional< BusinessDayConvention > &paymentConvention2=boost::none) | |
| FloatFloatSwap (VanillaSwap::Type type, const std::vector< Real > &nominal1, const std::vector< Real > &nominal2, const Schedule &schedule1, const ext::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const ext::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, bool intermediateCapitalExchange=false, bool finalCapitalExchange=false, const std::vector< Real > &gearing1=std::vector< Real >(), const std::vector< Real > &spread1=std::vector< Real >(), const std::vector< Real > &cappedRate1=std::vector< Real >(), const std::vector< Real > &flooredRate1=std::vector< Real >(), const std::vector< Real > &gearing2=std::vector< Real >(), const std::vector< Real > &spread2=std::vector< Real >(), const std::vector< Real > &cappedRate2=std::vector< Real >(), const std::vector< Real > &flooredRate2=std::vector< Real >(), const boost::optional< BusinessDayConvention > &paymentConvention1=boost::none, const boost::optional< BusinessDayConvention > &paymentConvention2=boost::none) | |
Inspectors | |
| VanillaSwap::Type | type () const |
| const std::vector< Real > & | nominal1 () const |
| const std::vector< Real > & | nominal2 () const |
| const Schedule & | schedule1 () const |
| const Schedule & | schedule2 () const |
| const ext::shared_ptr< InterestRateIndex > & | index1 () const |
| const ext::shared_ptr< InterestRateIndex > & | index2 () const |
| std::vector< Real > | spread1 () const |
| std::vector< Real > | spread2 () const |
| std::vector< Real > | gearing1 () const |
| std::vector< Real > | gearing2 () const |
| std::vector< Rate > | cappedRate1 () const |
| std::vector< Rate > | flooredRate1 () const |
| std::vector< Rate > | cappedRate2 () const |
| std::vector< Rate > | flooredRate2 () const |
| const DayCounter & | dayCount1 () const |
| const DayCounter & | dayCount2 () const |
| BusinessDayConvention | paymentConvention1 () const |
| BusinessDayConvention | paymentConvention2 () const |
| const Leg & | leg1 () const |
| const Leg & | leg2 () 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 () |
Results | |
| void | setupArguments (PricingEngine::arguments *args) const |
| void | fetchResults (const PricingEngine::results *) const |
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_ |
float float swap
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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.
|
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.
