QuantLib: Swap Class Reference

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

Protected Attributes | List of all members
Swap Class Reference
Financial instruments

Interest rate swap. More...

`#include <ql/instruments/swap.hpp>`

Inheritance diagram for Swap:
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## Public Member Functions
Additional interface
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
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 ()

## Protected Attributes
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_

## Constructors
| Swap (const Leg &firstLeg, const Leg &secondLeg)
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
| Swap (Size legs)

## Instrument interface
bool | isExpired () const
| returns whether the instrument might have value greater than zero.
void | setupArguments (PricingEngine::arguments *) const
void | fetchResults (const PricingEngine::results *) const
void | setupExpired () const

## Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Member Functions inherited from Instrument
void | calculate () const
virtual void | performCalculations () const
Protected Member Functions inherited from LazyObject

## Detailed Description

Interest rate swap.

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

## Constructor & Destructor Documentation

## ◆ Swap() [1/3]

Swap | ( | const Leg & | firstLeg,
|  | const Leg & | secondLeg
| ) |  |

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

## ◆ Swap() [2/3]

Swap | ( | const std::vector< Leg > & | legs,
|  | const std::vector< bool > & | payer
| ) |  |

Multi leg constructor.

## ◆ Swap() [3/3]

Swap | ( | Size | legs | ) |
| protected

This constructor can be used by derived classes that will build their legs themselves.

## 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.

Reimplemented in ZeroCouponInflationSwap, VanillaSwap, and YearOnYearInflationSwap.

## ◆ 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.

Reimplemented in ZeroCouponInflationSwap, VanillaSwap, and YearOnYearInflationSwap.

## ◆ setupExpired()

void setupExpired | ( |  | ) | const
| protectedvirtual

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.