org.jquantlib.instruments

Class Swap

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Swap

All Implemented Interfaces:

Observable, Observer

Direct Known Subclasses:

BMASwap, VanillaSwap

public class Swap
extends Instrument

Interest rate swap

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	Swap.Arguments Basic swap arguments
static class	Swap.ArgumentsImpl
static class	Swap.EngineImpl
static interface	Swap.Results Basic swap results
static class	Swap.ResultsImpl

Constructor Summary

Constructors

Constructor and Description
Swap(Leg firstLeg, Leg secondLeg)
Swap(java.util.List<Leg> legs, boolean[] payer)

Method Summary

Modifier and Type	Method and Description
void	fetchResults(PricingEngine.Results results) Obtains the Instrument.Results populated by a PricingEngine.
boolean	isExpired()
Date	maturityDate()
void	setupArguments(PricingEngine.Arguments arguments) Passes arguments to be used by a PricingEngine.
Date	startDate()

Methods inherited from class org.jquantlib.instruments.Instrument

errorEstimate, NPV, setPricingEngine

Methods inherited from class org.jquantlib.util.LazyObject

addObserver, countObservers, deleteObserver, deleteObservers, freeze, getObservers, notifyObservers, notifyObservers, recalculate, unfreeze, update

Methods inherited from class java.lang.Object

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

Constructor Detail

Swap

public Swap(Leg firstLeg,
            Leg secondLeg)

Swap

public Swap(java.util.List<Leg> legs,
            boolean[] payer)

Method Detail

startDate

public Date startDate()

maturityDate

public Date maturityDate()

isExpired

public boolean isExpired()

Specified by:

isExpired in class Instrument

Returns:

true if the instrument is still tradeable.

setupArguments

public void setupArguments(PricingEngine.Arguments arguments)

Description copied from class: Instrument

Passes arguments to be used by a PricingEngine. When a derived argument structure is defined for an instrument, this method should be overridden to fill it.

See Also:

Instrument.Arguments, PricingEngine

fetchResults

public void fetchResults(PricingEngine.Results results)

Description copied from class: Instrument

Obtains the Instrument.Results populated by a PricingEngine. When a derived result structure is defined for an instrument, this method should be overridden to read from it.

See Also:

Instrument.Results, PricingEngine