SubPeriodsSwap Class Reference

Single currency sub periods swap. More...

#include <qle/instruments/subperiodsswap.hpp>

Inheritance diagram for SubPeriodsSwap:

Public Member Functions
Constructors
	SubPeriodsSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, bool isPayer, const Period &fixedTenor, Rate fixedRate, const Calendar &fixedCalendar, const DayCounter &fixedDayCount, BusinessDayConvention fixedConvention, const Period &floatPayTenor, const QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatingDayCount, DateGeneration::Rule rule=DateGeneration::Backward, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
	Constructor with conventions deduced from the index.
Inspectors
Real	nominal () const
bool	isPayer () const
const Schedule &	fixedSchedule () const
Rate	fixedRate () const
const Leg &	fixedLeg () const
const Schedule &	floatSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	floatIndex () const
QuantExt::SubPeriodsCoupon1::Type	type () const
const Period &	floatPayTenor () const
const Leg &	floatLeg () const

Results
Real	fairRate () const
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Real	floatLegBPS () const
Real	floatLegNPV () const

Detailed Description

Single currency sub periods swap.