SimpleSwap Class Reference

#include <simpleswap.hpp>

Inheritance diagram for SimpleSwap:

Inheritance graph
[legend]
List of all members.

Detailed Description

Simple fixed-rate vs Libor swap.


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 Datematurity () const
bool payFixedRate () const
const std::vector< Handle<
CashFlow > > & 
fixedLeg () const
const std::vector< Handle<
CashFlow > > & 
floatingLeg () const


Constructor & Destructor Documentation

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 = ""
 

Deprecated:
use the constructor taking two Schedulers


The documentation for this class was generated from the following file:

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