BalanceGuaranteedSwap Class Reference

Balance Guaranteed Swap. More...

#include <qle/instruments/balanceguaranteedswap.hpp>

Inheritance diagram for BalanceGuaranteedSwap:

Classes
class	arguments
	Arguments for Balance Guaranteed Swap More...
class	results
	Results for Balance Guaranteed Swap More...
class	engine
	Base class for Balance Guaranteed Swap engines. More...

Public Member Functions

BalanceGuaranteedSwap (const VanillaSwap::Type type, const std::vector< std::vector< Real > > &trancheNominals, const Schedule &nominalSchedule, const Size referencedTranche, const Schedule &fixedSchedule, const std::vector< Real > &fixedRate, const DayCounter &fixedDayCount, const Schedule &floatingSchedule, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const std::vector< Real > &gearing, const std::vector< Real > &spread, const std::vector< Real > &cappedRate, const std::vector< Real > &flooredRate, const DayCounter &floatingDayCount, QuantLib::ext::optional< BusinessDayConvention > paymentConvention=QuantLib::ext::nullopt)

Inspectors
VanillaSwap::Type	type () const
const std::vector< std::vector< Real > > &	trancheNominal () const
const Schedule &	nominalSchedule () const
const Size	referencedTranche () const
const Schedule &	fixedSchedule () const
const std::vector< Real > &	fixedRate () const
const DayCounter &	fixedDayCount () const
const Schedule &	floatingSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	iborIndex () const
const std::vector< Real > &	gearing () const
const std::vector< Real > &	spread () const
const std::vector< Real > &	cappedRate () const
const std::vector< Real > &	flooredRate () const
const DayCounter &	floatingDayCount () const
BusinessDayConvention	paymentConvention () const
const Leg &	fixedLeg () const
const Leg &	floatingLeg () const
Real	trancheNominal (const Size trancheIndex, const Date &d)

Detailed Description

Balance Guaranteed Swap.

Notice the comment in the NumericLgmBgsFlexiSwapEngine concerning the start of the prepayments, this means that the tranche notionals for periods with a start date in the past or on the evaluation date should include actual (known) prepayments. For future periods the notionals should correspond to a zero CPR assumption on the other hand.