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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_asset_swap.html">AssetSwap</a></div>
<h1>AssetSwap Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::AssetSwap" --><!-- doxytag: inherits="QuantLib::Swap" --><code>#include <ql/instruments/assetswap.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for AssetSwap:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_asset_swap__inherit__graph.png" border="0" usemap="#_asset_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_asset_swap__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="24,7,80,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_asset_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Bullet bond vs Libor swap.
<p>
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<p>
<dl compact><dt><b><a class="el" href="bug.html#_bug000001">Bug:</a></b></dt><dd>fair prices are not calculated correctly when using indexed coupons. </dd></dl>
<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"><a class="anchor" name="cba6466af20f929e4fc544357524ae0c"></a><!-- doxytag: member="QuantLib::AssetSwap::AssetSwap" ref="cba6466af20f929e4fc544357524ae0c" args="(bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Handle< YieldTermStructure > &discountCurve, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)" -->
</td><td class="memItemRight" valign="bottom"><b>AssetSwap</b> (bool payFixedRate, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_bond.html">Bond</a> > &bond, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondCleanPrice, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &index, <a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> spread, 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> > &discountCurve, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &floatSchedule=<a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a>(), const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatingDayCount=<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a>(), bool parAssetSwap=true)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fed7d028c05630c089b2ae653dd94a7"></a><!-- doxytag: member="QuantLib::AssetSwap::fairSpread" ref="9fed7d028c05630c089b2ae653dd94a7" args="() const " -->
<a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> </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="6428d70950807f5c37f18a52fa79d756"></a><!-- doxytag: member="QuantLib::AssetSwap::floatingLegBPS" ref="6428d70950807f5c37f18a52fa79d756" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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="0a4e5d7234a62d63ee8fa6f1a835086a"></a><!-- doxytag: member="QuantLib::AssetSwap::fairPrice" ref="0a4e5d7234a62d63ee8fa6f1a835086a" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fairPrice</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d7a3e2124c58cf10df93a8def9a2fafb"></a><!-- doxytag: member="QuantLib::AssetSwap::spread" ref="d7a3e2124c58cf10df93a8def9a2fafb" args="() const " -->
<a class="el" href="group__types.html#ge7427f4743503002b0c6eeeefae91a3d">Spread</a> </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="0c27f57255d093f0a9c42fb53e991e7d"></a><!-- doxytag: member="QuantLib::AssetSwap::nominal" ref="0c27f57255d093f0a9c42fb53e991e7d" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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="226fb9c15366e3de1d8990876131c730"></a><!-- doxytag: member="QuantLib::AssetSwap::payFixedRate" ref="226fb9c15366e3de1d8990876131c730" 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="29ef1828744bbb15999052b71c8c5454"></a><!-- doxytag: member="QuantLib::AssetSwap::bondLeg" ref="29ef1828744bbb15999052b71c8c5454" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>bondLeg</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b770ccb862fe2799b9f9aeff11c9aeb1"></a><!-- doxytag: member="QuantLib::AssetSwap::floatingLeg" ref="b770ccb862fe2799b9f9aeff11c9aeb1" args="() const " -->
const Leg & </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_asset_swap.html#769a037255393b166557200edad61038">setupArguments</a> (PricingEngine::arguments *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_asset_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) 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_asset_swap_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for asset swap calculation <a href="class_quant_lib_1_1_asset_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_asset_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_asset_swap_1_1results.html#_details">More...</a><br></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="769a037255393b166557200edad61038"></a><!-- doxytag: member="QuantLib::AssetSwap::setupArguments" ref="769a037255393b166557200edad61038" args="(PricingEngine::arguments *args) const " -->
<div class="memitem">
<div class="memproto">
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<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </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 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_swap.html#ad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>.</p>
</div>
</div><p>
<a class="anchor" name="a0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::AssetSwap::fetchResults" ref="a0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">void fetchResults </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"> <em>r</em> </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_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">Swap</a>.</p>
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