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 Member Functions | |
| BMASwap (Type type, Real nominal, const Schedule &liborSchedule, Rate liborFraction, Rate liborSpread, const boost::shared_ptr< IborIndex > &liborIndex, const DayCounter &liborDayCount, const Schedule &bmaSchedule, const boost::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 Leg & | bmaLeg () const |
| const Leg & | liborLeg () const |
Results | |
| Real | liborLegBPS () const |
| Real | liborLegNPV () const |
| Rate | fairLiborFraction () const |
| Spread | fairLiborSpread () const |
| Real | bmaLegBPS () const |
| Real | bmaLegNPV () const |
Public Member Functions inherited from Swap | |
| 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 Leg & | leg (Size j) const |
| Swap (const Leg &firstLeg, const Leg &secondLeg) | |
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
| bool | isExpired () const |
| returns whether the instrument might have value greater than zero. | |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *) const |
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 Date & | valuationDate () const |
| returns the date the net present value refers to. | |
| template<typename T > | |
| 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 boost::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 () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Protected Member Functions inherited from Swap | |
| Swap (Size legs) | |
| void | setupExpired () const |
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< Leg > | legs_ |
| std::vector< Real > | payer_ |
| std::vector< Real > | legNPV_ |
| std::vector< Real > | legBPS_ |
| std::vector< DiscountFactor > | startDiscounts_ |
| std::vector< DiscountFactor > | endDiscounts_ |
| DiscountFactor | npvDateDiscount_ |
Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ |
| Real | NPV_ |
| Real | errorEstimate_ |
| Date | valuationDate_ |
| std::map< std::string, boost::any > | additionalResults_ |
Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
swap paying Libor against BMA coupons