CurrencySwap Class Reference

Currency Interest Rate Swap More...

#include <qle/instruments/currencyswap.hpp>

Inheritance diagram for CurrencySwap:

Classes
class	arguments
class	results
class	engine

Public Member Functions
LazyObject interface
void	alwaysForwardNotifications () override
Observable interface
void	deepUpdate () override
Additional interface
Date	startDate () const
Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
const Currency &	legCurrency (Size j) const
std::vector< Leg >	legs ()
std::vector< Currency >	currencies ()

Instrument interface
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Currency >	currency_
bool	isPhysicallySettled_
bool	isResettable_
std::vector< Real >	legNPV_
std::vector< Real >	inCcyLegNPV_
std::vector< Real >	legBPS_
std::vector< Real >	inCcyLegBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
bool	isExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Constructors
	CurrencySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const bool isPhysicallySettled=true, const bool isResettable=false)
	CurrencySwap (Size legs)

Detailed Description

Currency Interest Rate Swap

This instrument generalizes the QuantLib Swap instrument in that it allows multiple legs with different currencies (one per leg)

Constructor & Destructor Documentation

CurrencySwap() [1/2]

CurrencySwap	(	const std::vector< Leg > &	legs,
		const std::vector< bool > &	payer,
		const std::vector< Currency > &	currency,
		const bool	isPhysicallySettled = true,
		const bool	isResettable = false )

Multi leg constructor.

CurrencySwap() [2/2]

CurrencySwap ( Size legs )

protected

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