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<title>QuantLib: Swap Class Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_swap.html">Swap</a></div>
<h1>Swap Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::Swap" --><!-- doxytag: inherits="QuantLib::Instrument" --><code>#include <ql/instruments/swap.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for Swap:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_swap__inherit__graph.png" border="0" usemap="#_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_swap__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_asset_swap.html" title="Bullet bond vs Libor swap." alt="" coords="5,161,99,188"><area shape="rect" href="class_quant_lib_1_1_b_m_a_swap.html" title="swap paying Libor against BMA coupons" alt="" coords="123,161,211,188"><area shape="rect" href="class_quant_lib_1_1_vanilla_swap.html" title="Plain-vanilla swap." alt="" coords="235,161,331,188"><area shape="rect" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="120,7,213,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Interest rate swap.
<p>
The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received. <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_swap.html#a7e28d70b1366663707f7554205b887b">Swap</a> (const Leg &firstLeg, const Leg &secondLeg)</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_swap.html#84d17705f422bce5e74d0a4ca0f6df34">Swap</a> (const std::vector< Leg > &legs, const std::vector< bool > &payer)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Instrument interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="274c03751addc5c2ea63cc23d14a0bfe"></a><!-- doxytag: member="QuantLib::Swap::isExpired" ref="274c03751addc5c2ea63cc23d14a0bfe" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_swap.html#274c03751addc5c2ea63cc23d14a0bfe">isExpired</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">returns whether the instrument is still tradable. <br></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_swap.html#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) 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_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Additional interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3ab172f9ecc49c3e4606945f0704dcdb"></a><!-- doxytag: member="QuantLib::Swap::startDate" ref="3ab172f9ecc49c3e4606945f0704dcdb" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>startDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="716a3c2e199a948105b3be48b6c338aa"></a><!-- doxytag: member="QuantLib::Swap::maturityDate" ref="716a3c2e199a948105b3be48b6c338aa" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e068828364b9e2254681f983d68dcb6c"></a><!-- doxytag: member="QuantLib::Swap::legBPS" ref="e068828364b9e2254681f983d68dcb6c" args="(Size j) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>legBPS</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="269631e31a13dd1e7d6e78bc52397cef"></a><!-- doxytag: member="QuantLib::Swap::legNPV" ref="269631e31a13dd1e7d6e78bc52397cef" args="(Size j) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>legNPV</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="59d4f1ae9886a4955a88789f6da538ad"></a><!-- doxytag: member="QuantLib::Swap::leg" ref="59d4f1ae9886a4955a88789f6da538ad" args="(Size j) const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>leg</b> (<a class="el" href="group__types.html#gf38bdb4c54463b1f456655efa95b5c77">Size</a> j) const </td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></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_swap.html#1ea01b653cd3880c3e5d8bc34af412d3">setupExpired</a> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="55d313924706a6ea67a5f2ab70c1702a"></a><!-- doxytag: member="QuantLib::Swap::legs_" ref="55d313924706a6ea67a5f2ab70c1702a" args="" -->
std::vector< Leg > </td><td class="memItemRight" valign="bottom"><b>legs_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ec42fcaa87a0eca7ec78d2cf27ae1f5d"></a><!-- doxytag: member="QuantLib::Swap::payer_" ref="ec42fcaa87a0eca7ec78d2cf27ae1f5d" args="" -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>payer_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="63928801d947c68e40d22ccf9e9ab60b"></a><!-- doxytag: member="QuantLib::Swap::legNPV_" ref="63928801d947c68e40d22ccf9e9ab60b" args="" -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>legNPV_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a0c286a9b52ee9b980f6db3422482167"></a><!-- doxytag: member="QuantLib::Swap::legBPS_" ref="a0c286a9b52ee9b980f6db3422482167" args="" -->
std::vector< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>legBPS_</b></td></tr>
</table>
<hr><h2>Constructor & Destructor Documentation</h2>
<a class="anchor" name="a7e28d70b1366663707f7554205b887b"></a><!-- doxytag: member="QuantLib::Swap::Swap" ref="a7e28d70b1366663707f7554205b887b" args="(const Leg &firstLeg, const Leg &secondLeg)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_swap.html">Swap</a> </td>
<td>(</td>
<td class="paramtype">const Leg & </td>
<td class="paramname"> <em>firstLeg</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const Leg & </td>
<td class="paramname"> <em>secondLeg</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>
The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.
</div>
</div><p>
<a class="anchor" name="84d17705f422bce5e74d0a4ca0f6df34"></a><!-- doxytag: member="QuantLib::Swap::Swap" ref="84d17705f422bce5e74d0a4ca0f6df34" args="(const std::vector< Leg > &legs, const std::vector< bool > &payer)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_swap.html">Swap</a> </td>
<td>(</td>
<td class="paramtype">const std::vector< Leg > & </td>
<td class="paramname"> <em>legs</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const std::vector< bool > & </td>
<td class="paramname"> <em>payer</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>
Multi leg constructor.
</div>
</div><p>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::Swap::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<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_instrument.html#ad6958108bfaef12bc4ccd6b3d7a7231">Instrument</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_asset_swap.html#769a037255393b166557200edad61038">AssetSwap</a>, and <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#769a037255393b166557200edad61038">VanillaSwap</a>.</p>
</div>
</div><p>
<a class="anchor" name="a0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::Swap::fetchResults" ref="a0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<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_instrument.html#a0a3105ddebcff9f233fb76a8a31fafe">Instrument</a>.</p>
<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_asset_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">AssetSwap</a>, and <a class="el" href="class_quant_lib_1_1_vanilla_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">VanillaSwap</a>.</p>
</div>
</div><p>
<a class="anchor" name="1ea01b653cd3880c3e5d8bc34af412d3"></a><!-- doxytag: member="QuantLib::Swap::setupExpired" ref="1ea01b653cd3880c3e5d8bc34af412d3" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void setupExpired </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [protected, virtual]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
This method must leave the instrument in a consistent state when the expiration condition is met.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_instrument.html#1ea01b653cd3880c3e5d8bc34af412d3">Instrument</a>.</p>
</div>
</div><p>
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