QuantLib 0.3.3
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Reference manual
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SimpleSwap Class Reference#include <simpleswap.hpp>
Inheritance diagram for SimpleSwap:
[legend]List of all members.
Detailed Description
Simple fixed-rate vs Libor swap.
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Public Member Functions |
| SimpleSwap (bool payFixedRate, const Date &startDate, int n, TimeUnit units, const Calendar &calendar, RollingConvention rollingConvention, double nominal, int fixedFrequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floatingFrequency, const Handle< Indexes::Xibor > &index, int indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure, const std::string &isinCode="", const std::string &description="") |
| SimpleSwap (bool payFixedRate, const Date &maturity, double nominal, Rate fixedRate, const DayCounter &fixedDayCount, const Handle< Indexes::Xibor > &index, int indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure, Scheduler &fixedScheduler, Scheduler &floatScheduler, const std::string &isinCode="", const std::string &description="") |
| SimpleSwap (bool payFixedRate, const Date &startDate, const Date &maturity, const Calendar &calendar, RollingConvention rollingConvention, double nominal, int fixedFrequency, Rate fixedRate, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floatingFrequency, const Handle< Indexes::Xibor > &index, int indexFixingDays, Spread spread, const RelinkableHandle< TermStructure > &termStructure, const Date &fixedStubDate=Date(), bool fixedFromEnd=false, bool fixedLongFinal=false, const Date &floatStubDate=Date(), bool floatFromEnd=false, bool floatLongFinal=false, const std::string &isinCode="", const std::string &description="") |
Rate | fairRate () const |
Spread | fairSpread () const |
double | fixedLegBPS () const |
double | floatingLegBPS () const |
Rate | fixedRate () const |
Spread | spread () const |
double | nominal () const |
const Date & | maturity () const |
bool | payFixedRate () const |
const std::vector< Handle<
CashFlow > > & | fixedLeg () const |
const std::vector< Handle<
CashFlow > > & | floatingLeg () const |
Constructor & Destructor Documentation
SimpleSwap |
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bool |
payFixedRate, |
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const Date & |
startDate, |
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const Date & |
maturity, |
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const Calendar & |
calendar, |
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RollingConvention |
rollingConvention, |
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double |
nominal, |
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int |
fixedFrequency, |
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Rate |
fixedRate, |
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bool |
fixedIsAdjusted, |
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const DayCounter & |
fixedDayCount, |
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int |
floatingFrequency, |
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const Handle< Indexes::Xibor > & |
index, |
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int |
indexFixingDays, |
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Spread |
spread, |
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const RelinkableHandle< TermStructure > & |
termStructure, |
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const Date & |
fixedStubDate = Date(), |
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bool |
fixedFromEnd = false, |
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bool |
fixedLongFinal = false, |
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const Date & |
floatStubDate = Date(), |
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bool |
floatFromEnd = false, |
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bool |
floatLongFinal = false, |
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const std::string & |
isinCode = "", |
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const std::string & |
description = "" |
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The documentation for this class was generated from the following file:
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