CrossCcySwap Class Reference

Cross currency swap. More...

#include <qle/instruments/crossccyswap.hpp>

Inheritance diagram for CrossCcySwap:

Classes
class	arguments
class	results
class	engine

Public Member Functions
Additional interface
const Currency &	legCurrency (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	npvDateDiscounts (Size j) const

Instrument interface
std::vector< Currency >	currencies_
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Constructors
	CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy)
	First leg is paid and the second is received.
	CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currencies)
	CrossCcySwap (Size legs)

Detailed Description

Cross currency swap.

The first leg holds the pay currency cashflows and second leg holds the receive currency cashflows.

    \ingroup instruments

Constructor & Destructor Documentation

CrossCcySwap() [1/2]

CrossCcySwap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer,
		const std::vector< Currency > &	currencies )

Multi leg constructor.

CrossCcySwap() [2/2]

CrossCcySwap ( Size legs )

protected

This constructor can be used by derived classes that will build their legs themselves.