1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
|
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html;charset=iso-8859-1">
<meta name="robots" content="none">
<title>QuantLib: VanillaSwap Class Reference</title>
<link rel="stylesheet" href="quantlib.css" type="text/css">
<link rel="stylesheet" href="print.css" type="text/css" media="print">
<link rel="shortcut icon" href="favicon.ico" type="image/x-icon">
<link rel="icon" href="favicon.ico" type="image/x-icon">
</head>
<body>
<div id="container">
<div id="header">
<img class="titleimage"
src="QL-title.jpg" width="212" height="47" border="0"
alt="QuantLib">
<br>
<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
</div>
<div id="menu">
<h3 class="navbartitle">Version 0.3.14</h3>
<hr>
<h3 class="navbartitle">Getting started</h3>
<ul class="navbarlist">
<li class="navlink"><a href="index.html">Introduction</a></li>
<li class="navlink"><a href="overview.html">Project overview</a></li>
<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
<li class="navlink"><a href="install.html">Installation</a></li>
<li class="navlink"><a href="config.html">Configuration</a></li>
<li class="navlink"><a href="usage.html">Usage</a></li>
<li class="navlink"><a href="faq.html">Frequently asked questions</a></li>
<li class="navlink"><a href="history.html">Version history</a></li>
<li class="navlink"><a href="resources.html">Additional resources</a></li>
<li class="navlink"><a href="group.html">The QuantLib group</a></li>
<li class="navlink"><a href="license.html">Copyright and license</a></li>
</ul>
<hr>
<h3 class="navbartitle">Reference manual</h3>
<ul class="navbarlist">
<li class="navlink"><a href="modules.html">Modules</a></li>
<li class="navlink"><a href="hierarchy.html">Class Hierarchy</a></li>
<li class="navlink"><a href="annotated.html">Compound List</a></li>
<li class="navlink"><a href="files.html">File List</a></li>
<li class="navlink"><a href="functions.html">Compound Members</a></li>
<li class="navlink"><a href="globals.html">File Members</a></li>
<li class="navlink"><a href="todo.html">Todo List</a></li>
<li class="navlink"><a href="bug.html">Known Bugs</a></li>
<li class="navlink"><a href="caveats.html">Caveats</a></li>
<li class="navlink"><a href="test.html">Test Suite</a></li>
<li class="navlink"><a href="deprecated.html">Deprecated Features</a></li>
<li class="navlink"><a href="examples.html">Examples</a></li>
</ul>
</div>
<div id="content">
<!--Doxygen-generated content-->
<!-- Generated by Doxygen 1.5.1 -->
<div class="nav">
<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a></div>
<h1>VanillaSwap Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::VanillaSwap" --><!-- doxytag: inherits="QuantLib::Swap" --><code>#include <ql/Instruments/vanillaswap.hpp></code>
<p>
Inheritance diagram for VanillaSwap:<p><center><img src="class_quant_lib_1_1_vanilla_swap__inherit__graph.png" border="0" usemap="#_vanilla_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_vanilla_swap__inherit__map">
<area href="class_quant_lib_1_1_swap.html" shape="rect" coords="83,231,141,255" alt="">
<area href="class_quant_lib_1_1_instrument.html" shape="rect" coords="64,156,160,180" alt="">
<area href="class_quant_lib_1_1_lazy_object.html" shape="rect" coords="64,81,160,105" alt="">
<area href="class_quant_lib_1_1_observable.html" shape="rect" coords="5,7,104,31" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="128,7,211,31" alt="">
</map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_vanilla_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Plain-vanilla swap.
<p>
<dl compact><dt><b><a class="el" href="test.html#_test000025">Tests:</a></b></dt><dd><ul>
<li>the correctness of the returned value is tested by checking that the price of a swap paying the fair fixed rate is null.</li><li>the correctness of the returned value is tested by checking that the price of a swap receiving the fair floating-rate spread is null.</li><li>the correctness of the returned value is tested by checking that the price of a swap decreases with the paid fixed rate.</li><li>the correctness of the returned value is tested by checking that the price of a swap increases with the received floating-rate spread.</li><li>the correctness of the returned value is tested by checking it against a known good value. </li></ul>
</dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
<p>
<a class="el" href="_bermudan_swaption_8cpp-example.html#_a26">BermudanSwaption.cpp</a>, and <a class="el" href="swapvaluation_8cpp-example.html#_a29">swapvaluation.cpp</a>.</dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap.html#e5399b21136b810ff6ffca3d59260e4b">VanillaSwap</a> (bool payFixedRate, Real nominal, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &fixedSchedule, Rate fixedRate, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedDayCount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &floatSchedule, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &index, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> indexFixingDays, Spread spread, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatingDayCount, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f2c2c59de10215b955837fa793f8fa14"></a><!-- doxytag: member="QuantLib::VanillaSwap::VanillaSwap" ref="f2c2c59de10215b955837fa793f8fa14" args="(bool payFixedRate, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< Xibor > &index, Spread spread, const DayCounter &floatingDayCount, const Handle< YieldTermStructure > &termStructure)" -->
</td><td class="memItemRight" valign="bottom"><b>VanillaSwap</b> (bool payFixedRate, Real nominal, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &fixedSchedule, Rate fixedRate, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedDayCount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &floatSchedule, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > &index, Spread spread, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatingDayCount, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2f51236eb6ee854f56be4097d4eed153"></a><!-- doxytag: member="QuantLib::VanillaSwap::fairRate" ref="2f51236eb6ee854f56be4097d4eed153" args="() const" -->
Rate </td><td class="memItemRight" valign="bottom"><b>fairRate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="540021030088610c9e0b0bf50f240f58"></a><!-- doxytag: member="QuantLib::VanillaSwap::fairSpread" ref="540021030088610c9e0b0bf50f240f58" args="() const" -->
Spread </td><td class="memItemRight" valign="bottom"><b>fairSpread</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9920734539e372bb658caf26c9e63f29"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedLegBPS" ref="9920734539e372bb658caf26c9e63f29" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>fixedLegBPS</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="57487a30f418c9db5374e7c48419a0ae"></a><!-- doxytag: member="QuantLib::VanillaSwap::floatingLegBPS" ref="57487a30f418c9db5374e7c48419a0ae" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>floatingLegBPS</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="096b54e037e7623ae978c61c8f6c42ba"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedRate" ref="096b54e037e7623ae978c61c8f6c42ba" args="() const" -->
Rate </td><td class="memItemRight" valign="bottom"><b>fixedRate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f2b1ac06508be31b34a28d76091c0e3f"></a><!-- doxytag: member="QuantLib::VanillaSwap::spread" ref="f2b1ac06508be31b34a28d76091c0e3f" args="() const" -->
Spread </td><td class="memItemRight" valign="bottom"><b>spread</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8eee3d3767fab185a6f78d6b406618f5"></a><!-- doxytag: member="QuantLib::VanillaSwap::nominal" ref="8eee3d3767fab185a6f78d6b406618f5" args="() const" -->
Real </td><td class="memItemRight" valign="bottom"><b>nominal</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="79c7fb54f18bebae46cd99ad6e4d4ef3"></a><!-- doxytag: member="QuantLib::VanillaSwap::payFixedRate" ref="79c7fb54f18bebae46cd99ad6e4d4ef3" args="() const" -->
bool </td><td class="memItemRight" valign="bottom"><b>payFixedRate</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8f5809d943bc1823b86019defa25ae54"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedLeg" ref="8f5809d943bc1823b86019defa25ae54" args="() const" -->
const std::vector< boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_cash_flow.html">CashFlow</a> > > & </td><td class="memItemRight" valign="bottom"><b>fixedLeg</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d69c45a28ecb82a1dcebcb89937f8075"></a><!-- doxytag: member="QuantLib::VanillaSwap::floatingLeg" ref="d69c45a28ecb82a1dcebcb89937f8075" args="() const" -->
const std::vector< boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_cash_flow.html">CashFlow</a> > > & </td><td class="memItemRight" valign="bottom"><b>floatingLeg</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap.html#732a0161d1037a99ff006d5de5c6e0db">setupArguments</a> (<a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> *args) const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap.html#c09d03fe142ca309b1927896da95754c">fetchResults</a> (const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> *) const</td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for simple swap calculation <a href="class_quant_lib_1_1_vanilla_swap_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_vanilla_swap_1_1results.html">results</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Results from simple swap calculation <a href="class_quant_lib_1_1_vanilla_swap_1_1results.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="e5399b21136b810ff6ffca3d59260e4b"></a><!-- doxytag: member="QuantLib::VanillaSwap::VanillaSwap" ref="e5399b21136b810ff6ffca3d59260e4b" args="(bool payFixedRate, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< Xibor > &index, Integer indexFixingDays, Spread spread, const DayCounter &floatingDayCount, const Handle< YieldTermStructure > &termStructure)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> </td>
<td>(</td>
<td class="paramtype">bool </td>
<td class="paramname"> <em>payFixedRate</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Real </td>
<td class="paramname"> <em>nominal</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td>
<td class="paramname"> <em>fixedSchedule</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Rate </td>
<td class="paramname"> <em>fixedRate</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>fixedDayCount</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td>
<td class="paramname"> <em>floatSchedule</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> > & </td>
<td class="paramname"> <em>index</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td>
<td class="paramname"> <em>indexFixingDays</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">Spread </td>
<td class="paramname"> <em>spread</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td>
<td class="paramname"> <em>floatingDayCount</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > & </td>
<td class="paramname"> <em>termStructure</em></td><td> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td><td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
<dl compact><dt><b><a class="el" href="deprecated.html#_deprecated000006">Deprecated:</a></b></dt><dd>use the other <a class="el" href="class_quant_lib_1_1_vanilla_swap.html">VanillaSwap</a> constructor or <a class="el" href="class_quant_lib_1_1_swap.html">Swap</a> instead </dd></dl>
</div>
</div><p>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="732a0161d1037a99ff006d5de5c6e0db"></a><!-- doxytag: member="QuantLib::VanillaSwap::setupArguments" ref="732a0161d1037a99ff006d5de5c6e0db" args="(Arguments *args) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype"><a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> * </td>
<td class="paramname"> <em>args</em> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#5343dd1b4e84eb46141f7e3fdd87eb15">Instrument</a>.
</div>
</div><p>
<a class="anchor" name="c09d03fe142ca309b1927896da95754c"></a><!-- doxytag: member="QuantLib::VanillaSwap::fetchResults" ref="c09d03fe142ca309b1927896da95754c" args="(const Results *) const" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="class_quant_lib_1_1_results.html">Results</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#c09d03fe142ca309b1927896da95754c">Instrument</a>.
</div>
</div><p>
</div>
<div class="footer">
<table align="top" width="100%">
<tr>
<td align="middle" width="33%">
<strong>QuantLib.org</strong><br>
<a href="http://quantlib.org/">
<img src="QL-small.jpg" alt="QuantLib" align="middle" border=0>
</a>
</td>
<td align="middle" width="33%">
<strong>Hosted by</strong><br>
<a href="http://sourceforge.net"><img src=
"sfnetlogo.png" width="88" height="31"
border="0" alt="SourceForge.net Logo"></a>
</td>
<td align="middle" width="33%">
<strong>Documentation generated by</strong><br>
<a href="http://www.doxygen.org">
<img src="doxygen.png" alt="doxygen" align="middle" border=0 width=110 height=53>
</a></td>
</tr>
</table>
</div>
</div>
</body>
</html>
|
