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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
Copyright (C) 2006, 2011 Ferdinando Ametrano
Copyright (C) 2007, 2008 StatPro Italia 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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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
*/
#ifndef quantlib_swap_hpp
#define quantlib_swap_hpp
#include <ql/instrument.hpp>
#include <ql/cashflow.hpp>
#include <iosfwd>
namespace QuantLib {
//! Interest rate swap
/*! The cash flows belonging to the first leg are paid;
the ones belonging to the second leg are received.
\ingroup instruments
*/
class Swap : public Instrument {
public:
/*! In most cases, the swap has just two legs and can be
defined as receiver or payer.
Its type is usually defined with respect to the leg paying
a fixed rate; derived swap classes will document any
exceptions to the rule.
*/
enum Type { Receiver = -1, Payer = 1 };
class arguments;
class results;
class engine;
//! \name Constructors
//@{
/*! The cash flows belonging to the first leg are paid;
the ones belonging to the second leg are received.
*/
Swap(const Leg& firstLeg,
const Leg& secondLeg);
/*! Multi leg constructor. */
Swap(const std::vector<Leg>& legs,
const std::vector<bool>& payer);
//@}
//! \name Observable interface
//@{
void deepUpdate() override;
//@}
//! \name Instrument interface
//@{
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
void fetchResults(const PricingEngine::results*) const override;
//@}
//! \name Additional interface
//@{
Size numberOfLegs() const;
virtual Date startDate() const;
virtual Date maturityDate() const;
Real legBPS(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg# " << j << " doesn't exist!");
calculate();
QL_REQUIRE(legBPS_[j] != Null<Real>(), "result not available");
return legBPS_[j];
}
Real legNPV(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
QL_REQUIRE(legNPV_[j] != Null<Real>(), "result not available");
return legNPV_[j];
}
DiscountFactor startDiscounts(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
QL_REQUIRE(startDiscounts_[j] != Null<Real>(), "result not available");
return startDiscounts_[j];
}
DiscountFactor endDiscounts(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
calculate();
QL_REQUIRE(endDiscounts_[j] != Null<Real>(), "result not available");
return endDiscounts_[j];
}
DiscountFactor npvDateDiscount() const {
calculate();
QL_REQUIRE(npvDateDiscount_ != Null<Real>(), "result not available");
return npvDateDiscount_;
}
const Leg& leg(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
return legs_[j];
}
bool payer(Size j) const {
QL_REQUIRE(j<legs_.size(), "leg #" << j << " doesn't exist!");
return payer_[j] < 0.0;
}
//@}
protected:
//! \name Constructors
//@{
/*! This constructor can be used by derived classes that will
build their legs themselves.
*/
Swap(Size legs);
//@}
//! \name Instrument interface
//@{
void setupExpired() const override;
//@}
// data members
std::vector<Leg> legs_;
std::vector<Real> payer_;
mutable std::vector<Real> legNPV_;
mutable std::vector<Real> legBPS_;
mutable std::vector<DiscountFactor> startDiscounts_, endDiscounts_;
mutable DiscountFactor npvDateDiscount_;
};
class Swap::arguments : public virtual PricingEngine::arguments {
public:
std::vector<Leg> legs;
std::vector<Real> payer;
void validate() const override;
};
class Swap::results : public Instrument::results {
public:
std::vector<Real> legNPV;
std::vector<Real> legBPS;
std::vector<DiscountFactor> startDiscounts, endDiscounts;
DiscountFactor npvDateDiscount;
void reset() override;
};
class Swap::engine : public GenericEngine<Swap::arguments,
Swap::results> {};
std::ostream& operator<<(std::ostream& out, Swap::Type t);
}
#endif
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