AssetSwap − Bullet bond vs Libor swap.
#include <ql/instruments/assetswap.hpp>
Inherits Swap.
Classes
class arguments
Arguments for asset swap calculation
class results
Results from simple swap calculation
Public Member Functions
AssetSwap (bool payBondCoupon, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread, const Schedule &floatSchedule=Schedule(), const DayCounter &floatingDayCount=DayCounter(), bool parAssetSwap=true)
AssetSwap (bool parAssetSwap, const boost::shared_ptr< Bond > &bond, Real bondCleanPrice, Real nonParRepayment, Real gearing, const boost::shared_ptr< IborIndex > &iborIndex, Spread spread=0.0, const DayCounter &floatingDayCount=DayCounter(), Date dealMaturity=Date(), bool payBondCoupon=false)
Spread fairSpread () const
Real floatingLegBPS () const
Real floatingLegNPV () const
Real fairCleanPrice () const
Real fairNonParRepayment () const
bool parSwap () const
Spread spread () const
Real cleanPrice () const
Real nonParRepayment () const
const boost::shared_ptr< Bond > & bond () const
bool payBondCoupon () const
const Leg & bondLeg () const
const Leg & floatingLeg () const
void setupArguments (PricingEngine::arguments *args) const
void fetchResults (const PricingEngine::results *) const
Additional Inherited Members
Bullet bond vs Libor swap.
for mechanics of par asset swap and market asset swap, refer to ’Introduction to Asset Swap’, Lehman Brothers European Fixed Income Research - January 2000, D. O’Kane
Warning
bondCleanPrice must be the (forward) price at the floatSchedule start date
Bug
fair prices are not calculated correctly when using indexed coupons.
void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
void fetchResults (const PricingEngine::results * r) const [virtual]
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
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