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<title>QuantLib: VanillaSwap Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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>
<div class="dynheader">
Inheritance diagram for VanillaSwap:</div>
<div class="dynsection">
<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 shape="rect" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="25,7,81,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<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#_test000012">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><table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">enum </td><td class="memItemRight" valign="bottom"><b>Type</b> { <b>Receiver</b> = -1,
<b>Payer</b> = 1
}</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="179daf5318df537773a8a8be70c73326"></a><!-- doxytag: member="QuantLib::VanillaSwap::VanillaSwap" ref="179daf5318df537773a8a8be70c73326" args="(Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &floatSchedule, const boost::shared_ptr< IborIndex > &index, Spread spread, const DayCounter &floatingDayCount)" -->
</td><td class="memItemRight" valign="bottom"><b>VanillaSwap</b> (Type type, <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nominal, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &fixedSchedule, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> 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_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_day_counter.html">DayCounter</a> &floatingDayCount)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8299475d045050eb89682c7fa25ca208"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedLegBPS" ref="8299475d045050eb89682c7fa25ca208" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </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="36e1152928660bd46ffdcdfde8a70e6d"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedLegNPV" ref="36e1152928660bd46ffdcdfde8a70e6d" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fa34bca9b2bcc12ddaab588613043014"></a><!-- doxytag: member="QuantLib::VanillaSwap::fairRate" ref="fa34bca9b2bcc12ddaab588613043014" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </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="6428d70950807f5c37f18a52fa79d756"></a><!-- doxytag: member="QuantLib::VanillaSwap::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="3490947f87ceb8a495841d24e03b440e"></a><!-- doxytag: member="QuantLib::VanillaSwap::floatingLegNPV" ref="3490947f87ceb8a495841d24e03b440e" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floatingLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fed7d028c05630c089b2ae653dd94a7"></a><!-- doxytag: member="QuantLib::VanillaSwap::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="21ca699ff10159146df2e2673c1cc118"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedRate" ref="21ca699ff10159146df2e2673c1cc118" args="() const " -->
<a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </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="d7a3e2124c58cf10df93a8def9a2fafb"></a><!-- doxytag: member="QuantLib::VanillaSwap::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::VanillaSwap::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="c43c125cbe618e28e22e6d9328456bbb"></a><!-- doxytag: member="QuantLib::VanillaSwap::type" ref="c43c125cbe618e28e22e6d9328456bbb" args="() const " -->
Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="720acf11b744a6529b383940d01117a6"></a><!-- doxytag: member="QuantLib::VanillaSwap::fixedLeg" ref="720acf11b744a6529b383940d01117a6" args="() const " -->
const Leg & </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="b770ccb862fe2799b9f9aeff11c9aeb1"></a><!-- doxytag: member="QuantLib::VanillaSwap::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_vanilla_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_vanilla_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_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>Member Function Documentation</h2>
<a class="anchor" name="769a037255393b166557200edad61038"></a><!-- doxytag: member="QuantLib::VanillaSwap::setupArguments" ref="769a037255393b166557200edad61038" args="(PricingEngine::arguments *args) 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_swap.html#ad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>.</p>
</div>
</div><p>
<a class="anchor" name="a0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::VanillaSwap::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_swap.html#a0a3105ddebcff9f233fb76a8a31fafe">Swap</a>.</p>
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