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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file simpleswap.hpp
\brief Simple fixed-rate vs Libor swap
\fullpath
ql/Instruments/%simpleswap.hpp
*/
// $Id: simpleswap.hpp,v 1.21 2002/03/13 15:40:33 lballabio Exp $
#ifndef quantlib_simple_swap_h
#define quantlib_simple_swap_h
#include <ql/Instruments/swap.hpp>
#include <ql/Indexes/xibor.hpp>
namespace QuantLib {
namespace Instruments {
//! Simple fixed-rate vs Libor swap
class SimpleSwap : public Swap {
public:
SimpleSwap(bool payFixedRate,
// dates
const Date& startDate, int n, TimeUnit units,
const Calendar& calendar,
RollingConvention rollingConvention,
double nominal,
// fixed leg
int fixedFrequency,
Rate fixedRate,
bool fixedIsAdjusted,
const DayCounter& fixedDayCount,
// floating leg
int floatingFrequency,
const Handle<Indexes::Xibor>& index,
int indexFixingDays,
Spread spread,
// hook to term structure
const RelinkableHandle<TermStructure>& termStructure,
// description
const std::string& isinCode = "",
const std::string& description = "");
// results
Rate fairRate() const;
Spread spread() const;
double fixedLegBPS() const;
double floatingLegBPS() const;
// inspectors
Rate fixedRate() const;
double nominal() const;
const Date& maturity() const;
bool payFixedRate() const;
const std::vector<Handle<CashFlow> >& fixedLeg() const;
const std::vector<Handle<CashFlow> >& floatingLeg() const;
private:
bool payFixedRate_;
Rate fixedRate_;
Spread spread_;
double nominal_;
Date maturity_;
};
inline Rate SimpleSwap::fairRate() const {
return fixedRate_ - NPV()/fixedLegBPS();
}
inline double SimpleSwap::fixedLegBPS() const {
return (payFixedRate_ ? firstLegBPS() : secondLegBPS());
}
inline double SimpleSwap::floatingLegBPS() const {
return (payFixedRate_ ? secondLegBPS() : firstLegBPS());
}
inline Rate SimpleSwap::fixedRate() const {
return fixedRate_;
}
inline Spread SimpleSwap::spread() const {
return spread_;
}
inline double SimpleSwap::nominal() const {
return nominal_;
}
inline const Date& SimpleSwap::maturity() const {
return maturity_;
}
inline bool SimpleSwap::payFixedRate() const {
return payFixedRate_;
}
inline const std::vector<Handle<CashFlow> >&
SimpleSwap::fixedLeg() const {
return (payFixedRate_ ? firstLeg_ : secondLeg_);
}
inline const std::vector<Handle<CashFlow> >&
SimpleSwap::floatingLeg() const {
return (payFixedRate_ ? secondLeg_ : firstLeg_);
}
}
}
#endif
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