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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 swap.hpp
\brief Interest rate swap
\fullpath
ql/Instruments/%swap.hpp
*/
// $Id: swap.hpp,v 1.7 2002/03/05 16:58:02 lballabio Exp $
#ifndef quantlib_swap_h
#define quantlib_swap_h
#include <ql/instrument.hpp>
#include <ql/cashflow.hpp>
#include <ql/termstructure.hpp>
namespace QuantLib {
namespace Instruments {
//! Interest rate swap
/*! The cash flows belonging to the first leg are payed;
the ones belonging to the first leg are received. */
class Swap : public Instrument {
public:
Swap(const std::vector<Handle<CashFlow> >& firstLeg,
const std::vector<Handle<CashFlow> >& secondLeg,
const RelinkableHandle<TermStructure>& termStructure,
const std::string& isinCode = "",
const std::string& description = "");
// added interface
double firstLegBPS() const;
double secondLegBPS() const;
protected:
// methods
void performCalculations() const;
// data members
std::vector<Handle<CashFlow> > firstLeg_, secondLeg_;
RelinkableHandle<TermStructure> termStructure_;
mutable double firstLegBPS_, secondLegBPS_;
};
// inline definitions
inline double Swap::firstLegBPS() const {
calculate();
return firstLegBPS_;
}
inline double Swap::secondLegBPS() const {
calculate();
return secondLegBPS_;
}
}
}
#endif
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