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<li class="navelem"><b>QuantLib</b> </li>
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<!-- doxytag: class="QuantLib::AssetSwap" --><!-- doxytag: inherits="QuantLib::Swap" -->
<p>Bullet bond vs Libor swap.
<a href="class_quant_lib_1_1_asset_swap.html#details">More...</a></p>
<p><code>#include <ql/instruments/assetswap.hpp></code></p>
<div class="dynheader">
Inheritance diagram for AssetSwap:</div>
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<div class="center"><img src="class_quant_lib_1_1_asset_swap__inherit__graph.png" border="0" usemap="#_asset_swap_inherit__map" alt="Inheritance graph"/></div>
<map name="_asset_swap_inherit__map" id="_asset_swap_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="23,6,76,37"/></map>
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<p><a href="class_quant_lib_1_1_asset_swap-members.html">List of all members.</a></p>
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<tr><td class="memItemLeft" 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" 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>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afe29f6a0d065614964b50e3396e94212"></a><!-- doxytag: member="QuantLib::AssetSwap::AssetSwap" ref="afe29f6a0d065614964b50e3396e94212" args="(bool payBondCoupon, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)" -->
 </td><td class="memItemRight" valign="bottom"><b>AssetSwap</b> (bool payBondCoupon, 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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondCleanPrice, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex, <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread, 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" align="right" valign="top"><a class="anchor" id="a6b65af646651014e605b4ba0c7b4f35d"></a><!-- doxytag: member="QuantLib::AssetSwap::AssetSwap" ref="a6b65af646651014e605b4ba0c7b4f35d" args="(bool parAssetSwap, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)" -->
 </td><td class="memItemRight" valign="bottom"><b>AssetSwap</b> (bool parAssetSwap, 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#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> bondCleanPrice, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nonParRepayment, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gearing, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &iborIndex, <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread=0.0, 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>(), <a class="el" href="class_quant_lib_1_1_date.html">Date</a> dealMaturity=<a class="el" href="class_quant_lib_1_1_date.html">Date</a>(), bool payBondCoupon=false)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9fed7d028c05630c089b2ae653dd94a7"></a><!-- doxytag: member="QuantLib::AssetSwap::fairSpread" ref="a9fed7d028c05630c089b2ae653dd94a7" args="() const " -->
<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>fairSpread</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6428d70950807f5c37f18a52fa79d756"></a><!-- doxytag: member="QuantLib::AssetSwap::floatingLegBPS" ref="a6428d70950807f5c37f18a52fa79d756" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floatingLegBPS</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3490947f87ceb8a495841d24e03b440e"></a><!-- doxytag: member="QuantLib::AssetSwap::floatingLegNPV" ref="a3490947f87ceb8a495841d24e03b440e" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floatingLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aefe5a490e12fa6ddf266f1e16cbc8ad7"></a><!-- doxytag: member="QuantLib::AssetSwap::fairCleanPrice" ref="aefe5a490e12fa6ddf266f1e16cbc8ad7" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fairCleanPrice</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a49ccac4332a4c5e7faee1f2a0f7fb5c5"></a><!-- doxytag: member="QuantLib::AssetSwap::fairNonParRepayment" ref="a49ccac4332a4c5e7faee1f2a0f7fb5c5" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fairNonParRepayment</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a50e8937c3bff2b1f242b0da70e9e5d13"></a><!-- doxytag: member="QuantLib::AssetSwap::parSwap" ref="a50e8937c3bff2b1f242b0da70e9e5d13" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>parSwap</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad7a3e2124c58cf10df93a8def9a2fafb"></a><!-- doxytag: member="QuantLib::AssetSwap::spread" ref="ad7a3e2124c58cf10df93a8def9a2fafb" args="() const " -->
<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>spread</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aab241a7a0ea7c566883009fe26b009a1"></a><!-- doxytag: member="QuantLib::AssetSwap::cleanPrice" ref="aab241a7a0ea7c566883009fe26b009a1" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>cleanPrice</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab1ec3851ca926a8a4c5fbc9303ffbbc8"></a><!-- doxytag: member="QuantLib::AssetSwap::nonParRepayment" ref="ab1ec3851ca926a8a4c5fbc9303ffbbc8" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nonParRepayment</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a75b223367085dcbd9f0febd1c1ea512b"></a><!-- doxytag: member="QuantLib::AssetSwap::bond" ref="a75b223367085dcbd9f0febd1c1ea512b" args="() const " -->
const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_bond.html">Bond</a> > & </td><td class="memItemRight" valign="bottom"><b>bond</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aeac79b9e3c93b6b95c91c002073ff025"></a><!-- doxytag: member="QuantLib::AssetSwap::payBondCoupon" ref="aeac79b9e3c93b6b95c91c002073ff025" args="() const " -->
bool </td><td class="memItemRight" valign="bottom"><b>payBondCoupon</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a29ef1828744bbb15999052b71c8c5454"></a><!-- doxytag: member="QuantLib::AssetSwap::bondLeg" ref="a29ef1828744bbb15999052b71c8c5454" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>bondLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab770ccb862fe2799b9f9aeff11c9aeb1"></a><!-- doxytag: member="QuantLib::AssetSwap::floatingLeg" ref="ab770ccb862fe2799b9f9aeff11c9aeb1" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>floatingLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_asset_swap.html#a769a037255393b166557200edad61038">setupArguments</a> (PricingEngine::arguments *args) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_asset_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Bullet bond vs Libor swap. </p>
<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 class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000046">Warning:</a></b></dt><dd>bondCleanPrice must be the (forward) price at the floatSchedule start date</dd></dl>
<dl class="bug"><dt><b><a class="el" href="bug.html#_bug000003">Bug:</a></b></dt><dd>fair prices are not calculated correctly when using indexed coupons. </dd></dl>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a769a037255393b166557200edad61038"></a><!-- doxytag: member="QuantLib::AssetSwap::setupArguments" ref="a769a037255393b166557200edad61038" args="(PricingEngine::arguments *args) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void <a class="el" href="class_quant_lib_1_1_asset_swap.html#a769a037255393b166557200edad61038">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [virtual]</code></td>
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<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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>.</p>
</div>
</div>
<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::AssetSwap::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_asset_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> const<code> [virtual]</code></td>
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</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>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">Swap</a>.</p>
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