TenorBasisSwap Class Reference

Single currency tenor basis swap. More...

#include <qle/instruments/tenorbasisswap.hpp>

Inheritance diagram for TenorBasisSwap:

Classes
class	results
class	engine

Public Member Functions
Constructors
	TenorBasisSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Period &payFrequency, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, const Period &recFrequency, DateGeneration::Rule rule=DateGeneration::Backward, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
	Constructor with conventions deduced from the indices.
	TenorBasisSwap (Real nominal, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
	Constructor using Schedules with a full interface.
	TenorBasisSwap (const std::vector< Real > &nominals, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< IborIndex > &payIndex, Spread paySpread, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< IborIndex > &recIndex, Spread recSpread, bool includeSpread=false, bool spreadOnRec=true, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, const bool telescopicValueDates=false)
Inspectors
Real	nominal () const
const std::vector< Real > &	nominals () const
const Schedule &	paySchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	payIndex () const
Spread	paySpread () const
const Leg &	payLeg () const
const Schedule &	recSchedule () const
const QuantLib::ext::shared_ptr< IborIndex > &	recIndex () const
Spread	recSpread () const
const Leg &	recLeg () const
const Period &	recFrequency () const
const Period &	payFrequency () const
bool	includeSpread () const
bool	spreadOnRec () const
QuantExt::SubPeriodsCoupon1::Type	type () const

Results
Real	payLegBPS () const
Real	payLegNPV () const
Rate	fairPayLegSpread () const
Real	recLegBPS () const
Real	recLegNPV () const
Spread	fairRecLegSpread () const
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

Single currency tenor basis swap.