QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Classes | Public Member Functions | List of all members
FloatFloatSwap Class Reference

float float swap More...

#include <ql/instruments/floatfloatswap.hpp>

+ Inheritance diagram for FloatFloatSwap:

Classes

class  arguments
 Arguments for float float swap calculation More...
 
class  results
 Results from float float swap calculation More...
 

Public Member Functions

 FloatFloatSwap (const VanillaSwap::Type type, const Real nominal1, const Real nominal2, const Schedule &schedule1, const boost::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const boost::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, const Real gearing1=1.0, const Real spread1=0.0, const Real cappedRate1=Null< Real >(), const Real flooredRate1=Null< Real >(), const Real gearing2=1.0, const Real spread2=0.0, const Real cappedRate2=Null< Real >(), const Real flooredRate2=Null< Real >(), boost::optional< BusinessDayConvention > paymentConvention1=boost::none, boost::optional< BusinessDayConvention > paymentConvention2=boost::none)
 
 FloatFloatSwap (const VanillaSwap::Type type, const std::vector< Real > &nominal1, const std::vector< Real > &nominal2, const Schedule &schedule1, const boost::shared_ptr< InterestRateIndex > &index1, const DayCounter &dayCount1, const Schedule &schedule2, const boost::shared_ptr< InterestRateIndex > &index2, const DayCounter &dayCount2, const bool intermediateCapitalExchange=false, const bool finalCapitalExchange=false, const std::vector< Real > &gearing1=std::vector< Real >(), const std::vector< Real > &spread1=std::vector< Real >(), const std::vector< Real > &cappedRate1=std::vector< Real >(), const std::vector< Real > &flooredRate1=std::vector< Real >(), const std::vector< Real > &gearing2=std::vector< Real >(), const std::vector< Real > &spread2=std::vector< Real >(), const std::vector< Real > &cappedRate2=std::vector< Real >(), const std::vector< Real > &flooredRate2=std::vector< Real >(), boost::optional< BusinessDayConvention > paymentConvention1=boost::none, boost::optional< BusinessDayConvention > paymentConvention2=boost::none)
 
void setupArguments (PricingEngine::arguments *args) const
 
void fetchResults (const PricingEngine::results *) const
 
Inspectors
VanillaSwap::Type type () const
 
const std::vector< Real > & nominal1 () const
 
const std::vector< Real > & nominal2 () const
 
const Scheduleschedule1 () const
 
const Scheduleschedule2 () const
 
const boost::shared_ptr< InterestRateIndex > & index1 () const
 
const boost::shared_ptr< InterestRateIndex > & index2 () const
 
const std::vector< Realspread1 () const
 
const std::vector< Realspread2 () const
 
const std::vector< Realgearing1 () const
 
const std::vector< Realgearing2 () const
 
const std::vector< RatecappedRate1 () const
 
const std::vector< RateflooredRate1 () const
 
const std::vector< RatecappedRate2 () const
 
const std::vector< RateflooredRate2 () const
 
const DayCounterdayCount1 () const
 
const DayCounterdayCount2 () const
 
BusinessDayConvention paymentConvention1 () const
 
BusinessDayConvention paymentConvention2 () const
 
const Legleg1 () const
 
const Legleg2 () 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 Legleg (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 DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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 ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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 ()
 

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 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< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

float float swap

Member Function Documentation

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.

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.