Swap Class Reference

#include <swap.hpp>

Inheritance diagram for Swap:

Inheritance graph
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List of all members.

Detailed Description

Interest rate swap.

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


Public Member Functions

 Swap (const std::vector< Handle< CashFlow > > &firstLeg, const std::vector< Handle< CashFlow > > &secondLeg, const RelinkableHandle< TermStructure > &termStructure, const std::string &isinCode="", const std::string &description="")
double firstLegBPS () const
double secondLegBPS () const
const Handle< CashFlows::TimeBasket > & sensitivity () const

Protected Member Functions

void performCalculations () const

Protected Attributes

std::vector< Handle< CashFlow > > firstLeg_
std::vector< Handle< CashFlow > > secondLeg_
RelinkableHandle< TermStructuretermStructure_
double firstLegBPS_
double secondLegBPS_
Handle< CashFlows::TimeBasket > sensitivity_


Member Function Documentation

void performCalculations  )  const [protected, virtual]
 

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.


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

QuantLib.org
QuantLib
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