QuantLib: IrregularSwap Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Classes | Public Types | Public Member Functions | List of all members
IrregularSwap Class Reference

Irregular swap: fixed vs floating leg. More...

`#include <ql/experimental/swaptions/irregularswap.hpp>`

Inheritance diagram for IrregularSwap:
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## Classes
class | arguments
| Arguments for irregular-swap calculation More...
class | results
| Results from irregular-swap calculation More...

## Public Types
enum | Type { Receiver = -1, Payer = 1 }
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator

## Public Member Functions
| IrregularSwap (Type type, const Leg &fixLeg, const Leg &floatLeg)
void | setupArguments (PricingEngine::arguments *args) const
void | fetchResults (const PricingEngine::results *) const
Inspectors
Type | type () const
const Leg & | fixedLeg () const
const Leg & | floatingLeg () const
Results
Real | fixedLegBPS () const
Real | fixedLegNPV () const
Rate | fairRate () const
Real | floatingLegBPS () const
Real | floatingLegNPV () const
Spread | fairSpread () const
Public Member Functions inherited from Swap
Date | startDate () const
Date | maturityDate () const
Real | legBPS (Size j) const
Real | legNPV (Size j) const
DiscountFactor | startDiscounts (Size j) const
DiscountFactor | endDiscounts (Size j) const
DiscountFactor | npvDateDiscount () const
const Leg & | leg (Size j) const
| Swap (const Leg &firstLeg, const Leg &secondLeg)
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
bool | isExpired () const
| returns whether the instrument might have value greater than zero.
void | setupArguments (PricingEngine::arguments *) const
void | fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from Instrument
Real | NPV () const
| returns the net present value of the instrument.
Real | errorEstimate () const
| returns the error estimate on the NPV when available.
const Date & | valuationDate () const
| returns the date the net present value refers to.
template<typename T >
T | result (const std::string &tag) const
| returns any additional result returned by the pricing engine.
const std::map< std::string, boost::any > & | additionalResults () const
| returns all additional result returned by the pricing engine.
void | setPricingEngine (const boost::shared_ptr< PricingEngine > &)
| set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
void | update ()
void | recalculate ()
void | freeze ()
void | unfreeze ()
void | alwaysForwardNotifications ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()

## Additional Inherited Members
Protected Member Functions inherited from Swap
| Swap (Size legs)
void | setupExpired () const
Protected Member Functions inherited from Instrument
void | calculate () const
virtual void | performCalculations () const
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Swap
std::vector< Leg > | legs_
std::vector< Real > | payer_
std::vector< Real > | legNPV_
std::vector< Real > | legBPS_
std::vector< DiscountFactor > | startDiscounts_
std::vector< DiscountFactor > | endDiscounts_
DiscountFactor | npvDateDiscount_
Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngine > | engine_
Real | NPV_
Real | errorEstimate_
Date | valuationDate_
std::map< std::string, boost::any > | additionalResults_
Protected Attributes inherited from LazyObject
bool | calculated_
bool | frozen_
bool | alwaysForward_

## Detailed Description

Irregular swap: fixed vs floating leg.

## Member Function Documentation

## ◆ setupArguments()

void setupArguments | ( | PricingEngine::arguments * |  | ) | const
| virtual

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.

Reimplemented from Instrument.

## ◆ fetchResults()

void fetchResults | ( | const PricingEngine::results * | r | ) | const
| virtual

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.

Reimplemented from Instrument.