Swap Class Reference
[Financial instruments]
#include <ql/instruments/swap.hpp>

Detailed Description
Interest rate swap.The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.
Public Member Functions | |
| Swap (const Leg &firstLeg, const Leg &secondLeg) | |
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument is still tradable. | |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *) const |
Additional interface | |
| Date | startDate () const |
| Date | maturityDate () const |
| Real | legBPS (Size j) const |
| Real | legNPV (Size j) const |
| const Leg & | leg (Size j) const |
Protected Member Functions | |
| void | setupExpired () const |
Protected Attributes | |
| std::vector< Leg > | legs_ |
| std::vector< Real > | payer_ |
| std::vector< Real > | legNPV_ |
| std::vector< Real > | legBPS_ |
Constructor & Destructor Documentation
| 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 | ( | const std::vector< Leg > & | legs, | |
| const std::vector< bool > & | payer | |||
| ) |
Multi leg constructor.
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.
Reimplemented in AssetSwap, and VanillaSwap.
| 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 AssetSwap, and VanillaSwap.
| void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.