org.jquantlib.instruments

Class MakeVanillaSwap

java.lang.Object

org.jquantlib.instruments.MakeVanillaSwap

public class MakeVanillaSwap
extends java.lang.Object

This class provides a more comfortable way to instantiate standard market swap.

Constructor Summary

Constructors

Constructor and Description
MakeVanillaSwap(Period swapTenor, IborIndex index)
MakeVanillaSwap(Period swapTenor, IborIndex index, double fixedRate)
MakeVanillaSwap(Period swapTenor, IborIndex index, double fixedRate, Period forwardStart)

Method Summary

Modifier and Type	Method and Description
MakeVanillaSwap	receiveFixed(boolean flag)
VanillaSwap	value()
MakeVanillaSwap	withDiscountingTermStructure(Handle<YieldTermStructure> discountingTermStructure)
MakeVanillaSwap	withEffectiveDate(Date effectiveDate)
MakeVanillaSwap	withFixedLegCalendar(Calendar cal)
MakeVanillaSwap	withFixedLegConvention(BusinessDayConvention bdc)
MakeVanillaSwap	withFixedLegDayCount(DayCounter dc)
MakeVanillaSwap	withFixedLegEndOfMonth(boolean flag)
MakeVanillaSwap	withFixedLegFirstDate(Date d)
MakeVanillaSwap	withFixedLegNextToLastDate(Date d)
MakeVanillaSwap	withFixedLegRule(DateGeneration.Rule r)
MakeVanillaSwap	withFixedLegTenor(Period t)
MakeVanillaSwap	withFixedLegTerminationDateConvention(BusinessDayConvention bdc)
MakeVanillaSwap	withFloatingLegCalendar(Calendar cal)
MakeVanillaSwap	withFloatingLegConvention(BusinessDayConvention bdc)
MakeVanillaSwap	withFloatingLegDayCount(DayCounter dc)
MakeVanillaSwap	withFloatingLegEndOfMonth(boolean flag)
MakeVanillaSwap	withFloatingLegFirstDate(Date d)
MakeVanillaSwap	withFloatingLegNextToLastDate(Date d)
MakeVanillaSwap	withFloatingLegRule(DateGeneration.Rule r)
MakeVanillaSwap	withFloatingLegSpread(double sp)
MakeVanillaSwap	withFloatingLegTenor(Period t)
MakeVanillaSwap	withFloatingLegTerminationDateConvention(BusinessDayConvention bdc)
MakeVanillaSwap	withNominal(double n)
MakeVanillaSwap	withRule(DateGeneration.Rule r)
MakeVanillaSwap	withTerminationDate(Date terminationDate)
MakeVanillaSwap	withType(VanillaSwap.Type type)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

MakeVanillaSwap

public MakeVanillaSwap(Period swapTenor,
                       IborIndex index)

MakeVanillaSwap

public MakeVanillaSwap(Period swapTenor,
                       IborIndex index,
                       double fixedRate)

MakeVanillaSwap

public MakeVanillaSwap(Period swapTenor,
                       IborIndex index,
                       double fixedRate,
                       Period forwardStart)

Method Detail

value

public VanillaSwap value()

receiveFixed

public MakeVanillaSwap receiveFixed(boolean flag)

withType

public MakeVanillaSwap withType(VanillaSwap.Type type)

withNominal

public MakeVanillaSwap withNominal(double n)

withEffectiveDate

public MakeVanillaSwap withEffectiveDate(Date effectiveDate)

withTerminationDate

public MakeVanillaSwap withTerminationDate(Date terminationDate)

withRule

public MakeVanillaSwap withRule(DateGeneration.Rule r)

withDiscountingTermStructure

public MakeVanillaSwap withDiscountingTermStructure(Handle<YieldTermStructure> discountingTermStructure)

withFixedLegTenor

public MakeVanillaSwap withFixedLegTenor(Period t)

withFixedLegCalendar

public MakeVanillaSwap withFixedLegCalendar(Calendar cal)

withFixedLegConvention

public MakeVanillaSwap withFixedLegConvention(BusinessDayConvention bdc)

withFixedLegTerminationDateConvention

public MakeVanillaSwap withFixedLegTerminationDateConvention(BusinessDayConvention bdc)

withFixedLegRule

public MakeVanillaSwap withFixedLegRule(DateGeneration.Rule r)

withFixedLegEndOfMonth

public MakeVanillaSwap withFixedLegEndOfMonth(boolean flag)

withFixedLegFirstDate

public MakeVanillaSwap withFixedLegFirstDate(Date d)

withFixedLegNextToLastDate

public MakeVanillaSwap withFixedLegNextToLastDate(Date d)

withFixedLegDayCount

public MakeVanillaSwap withFixedLegDayCount(DayCounter dc)

withFloatingLegTenor

public MakeVanillaSwap withFloatingLegTenor(Period t)

withFloatingLegCalendar

public MakeVanillaSwap withFloatingLegCalendar(Calendar cal)

withFloatingLegConvention

public MakeVanillaSwap withFloatingLegConvention(BusinessDayConvention bdc)

withFloatingLegTerminationDateConvention

public MakeVanillaSwap withFloatingLegTerminationDateConvention(BusinessDayConvention bdc)

withFloatingLegRule

public MakeVanillaSwap withFloatingLegRule(DateGeneration.Rule r)

withFloatingLegEndOfMonth

public MakeVanillaSwap withFloatingLegEndOfMonth(boolean flag)

withFloatingLegFirstDate

public MakeVanillaSwap withFloatingLegFirstDate(Date d)

withFloatingLegNextToLastDate

public MakeVanillaSwap withFloatingLegNextToLastDate(Date d)

withFloatingLegDayCount

public MakeVanillaSwap withFloatingLegDayCount(DayCounter dc)

withFloatingLegSpread

public MakeVanillaSwap withFloatingLegSpread(double sp)