QuantLib 0.3.3 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Supported platforms Version history Todo list Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Namespace List Class Hierarchy Compound List File List Namespace Members Compound Members File Members Unstable Features Deprecated List

Swap Class Reference #include <swap.hpp> Inheritance diagram for Swap: [legend]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< TermStructure >  termStructure_ 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: ql/Instruments/swap.hpp ql/Instruments/swap.cpp

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