QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
BMASwap Class Reference

swap paying Libor against BMA coupons More...

#include <ql/instruments/bmaswap.hpp>

+ Inheritance diagram for BMASwap:

Public Types

enum  Type { Receiver = -1, Payer = 1 }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Public Member Functions

 BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const ext::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const ext::shared_ptr< BMAIndex > &bmaIndex, const DayCounter &bmaDayCount)
 
Inspectors
Real liborFraction () const
 
Spread liborSpread () const
 
Real nominal () const
 
Type type () const
 "payer" or "receiver" refer to the BMA leg
 
const LegbmaLeg () const
 
const LegliborLeg () const
 
- Public Member Functions inherited from Swap
void deepUpdate ()
 
Date startDate () const
 
Date maturityDate () const
 
Real legBPS (Size j) const
 
Real legNPV (Size j) const
 
DiscountFactor startDiscounts (Size j) const
 
DiscountFactor endDiscounts (Size j) const
 
DiscountFactor npvDateDiscount () const
 
const Legleg (Size j) const
 
bool payer (Size j) const
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
void setupArguments (PricingEngine::arguments *) const
 
void fetchResults (const PricingEngine::results *) const
 
 Swap (const Leg &firstLeg, const Leg &secondLeg)
 
 Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string, boost::any > & additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const ext::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Results

Real liborLegBPS () const
 
Real liborLegNPV () const
 
Rate fairLiborFraction () const
 
Spread fairLiborSpread () const
 
Real bmaLegBPS () const
 
Real bmaLegNPV () const
 

Additional Inherited Members

- Protected Member Functions inherited from Swap
void setupExpired () const
 
 Swap (Size legs)
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Swap
std::vector< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

swap paying Libor against BMA coupons