Rechercher une page de manuel
QuantLib_AssetSwap
Langue: en
Version: 376745 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- Member Function Documentation
- 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.
- 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.
- Author
NAME
QuantLib::AssetSwap -Bullet bond vs Libor swap.
SYNOPSIS
#include <ql/instruments/assetswap.hpp>
Inherits QuantLib::Swap.
Classes
class arguments
Arguments for asset swap calculation
class results
Results from simple swap calculation
Public Member Functions
AssetSwap (bool payFixedRate, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &index, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)
Spread fairSpread () const
Real floatingLegBPS () const
Real fairCleanPrice () const
bool parSwap () const
Spread spread () const
const boost::shared_ptr< Bond > & bond () const
bool payFixedRate () const
const Leg & bondLeg () const
const Leg & floatingLeg () const
void setupArguments (PricingEngine::arguments *args) const
void fetchResults (const PricingEngine::results *) const
Detailed Description
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
Warning
- bondCleanPrice must be the (forward) price at the floatSchedule start date
Bug
- fair prices are not calculated correctly when using indexed coupons.
Member Function Documentation
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.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre