org.jquantlib.instruments

Class VanillaSwap

java.lang.Object

org.jquantlib.util.LazyObject

org.jquantlib.instruments.Instrument

org.jquantlib.instruments.Swap

org.jquantlib.instruments.VanillaSwap

All Implemented Interfaces:

Observable, Observer

public class VanillaSwap
extends Swap

Plain-vanilla swap

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	VanillaSwap.Arguments
class	VanillaSwap.ArgumentsImpl Arguments for simple swap calculation
static interface	VanillaSwap.Results
class	VanillaSwap.ResultsImpl Results from simple swap calculation
static class	VanillaSwap.Type

Nested classes/interfaces inherited from class org.jquantlib.instruments.Swap

Swap.EngineImpl

Constructor Summary

Constructors

Constructor and Description
VanillaSwap(VanillaSwap.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule floatSchedule, IborIndex iborIndex, double spread, DayCounter floatingDayCount)
VanillaSwap(VanillaSwap.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule floatSchedule, IborIndex iborIndex, double spread, DayCounter floatingDayCount, BusinessDayConvention paymentConvention)

Method Summary

Modifier and Type	Method and Description
double	fairRate()
double	fairSpread()
void	fetchResults(PricingEngine.Results results) Obtains the Instrument.Results populated by a PricingEngine.
Leg	fixedLeg()
double	fixedLegBPS()
double	fixedLegNPV()
Leg	floatingLeg()
double	floatingLegBPS()
double	floatingLegNPV()
void	setupArguments(PricingEngine.Arguments arguments) Passes arguments to be used by a PricingEngine.
void	setupExpired() This method must leave the instrument in a consistent state when the expiration condition is met.
java.lang.String	toString()

Methods inherited from class org.jquantlib.instruments.Swap

isExpired, maturityDate, 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, wait, wait, wait

Constructor Detail

VanillaSwap

public VanillaSwap(VanillaSwap.Type type,
                   double nominal,
                   Schedule fixedSchedule,
                   double fixedRate,
                   DayCounter fixedDayCount,
                   Schedule floatSchedule,
                   IborIndex iborIndex,
                   double spread,
                   DayCounter floatingDayCount)

VanillaSwap

public VanillaSwap(VanillaSwap.Type type,
                   double nominal,
                   Schedule fixedSchedule,
                   double fixedRate,
                   DayCounter fixedDayCount,
                   Schedule floatSchedule,
                   IborIndex iborIndex,
                   double spread,
                   DayCounter floatingDayCount,
                   BusinessDayConvention paymentConvention)

Method Detail

fairRate

public double fairRate()

fairSpread

public double fairSpread()

fixedLeg

public final Leg fixedLeg()

floatingLeg

public final Leg floatingLeg()

fixedLegBPS

public double fixedLegBPS()

floatingLegBPS

public double floatingLegBPS()

fixedLegNPV

public double fixedLegNPV()

floatingLegNPV

public double floatingLegNPV()

setupExpired

public void setupExpired()

Description copied from class: Instrument

This method must leave the instrument in a consistent state when the expiration condition is met.

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.

Overrides:

setupArguments in class Swap

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.

Overrides:

fetchResults in class Swap

See Also:

Instrument.Results, PricingEngine

toString

public java.lang.String toString()

Overrides:

toString in class java.lang.Object