- QuantLib
- AssetSwap
Bullet bond vs Libor swap. More...
#include <ql/instruments/assetswap.hpp>
Classes | |
class | arguments |
Arguments for asset swap calculation More... | |
class | results |
Results from simple swap calculation More... | |
Public Member Functions | |
AssetSwap (bool payBondCoupon, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true) | |
AssetSwap (bool parAssetSwap, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false) | |
Spread | fairSpread () const |
Real | floatingLegBPS () const |
Real | floatingLegNPV () const |
Real | fairCleanPrice () const |
Real | fairNonParRepayment () const |
bool | parSwap () const |
Spread | spread () const |
Real | cleanPrice () const |
Real | nonParRepayment () const |
const boost::shared_ptr< Bond > & | bond () const |
bool | payBondCoupon () const |
const Leg & | bondLeg () const |
const Leg & | floatingLeg () const |
void | setupArguments (PricingEngine::arguments *args) const |
void | fetchResults (const PricingEngine::results *) const |
Bullet bond vs Libor swap.
for mechanics of par asset swap and market asset swap, refer to "Introduction to Asset Swap", Lehman Brothers European Fixed Income Research - January 2000, D. O'Kane
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 Swap.
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 Swap.