Class implements an plain vanilla (flo/fix) interest rate swap contract. More...

#include <IRS.hpp>

Inheritance diagram for julian::IRS:

Public Member Functions
	IRS ()
	Default constructor. More...

	IRS (Date trade_date, Date start_date, Date maturity_date, CashFlowVector fixed_leg, CashFlowVector floating_leg, InterestRate fixed_leg_rate, InterestRate floating_leg_rate, double notional, double quoting, Frequency fixed_leg_freq, Frequency floating_leg_freq)
	Constructor. More...

virtual IRS *	clone () const
	Virtual copy constructor. More...

Linear instrument interface
virtual double	price (const SmartPointer< ir::Curve > &)
	calculates price of IRS by summing the discounted CFs More...

virtual double	price (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projecting, const SmartPointer< ir::Curve > &, const SmartPointer< ir::Curve > &)
	calculates price of IRS by summing the discounted CFs More...

virtual void	valuation (const SmartPointer< ir::Curve > &)
	prints price and CFs of IRS More...

virtual void	valuation (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projecting, const SmartPointer< ir::Curve > &, const SmartPointer< ir::Curve > &)
	prints price and CFs of IRS More...

Building Block interface
virtual Date	getDate () const override
	returns maturity of IRS More...

virtual std::pair< CashFlowVector, CashFlowVector >	getCFs () const override
	Returns the sets of cashflows associated with IRS. More...

virtual double	calibrate (const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

virtual double	calibrate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &calibrated) override
	Method calibrate is used by root finding estimator. More...

virtual double	getParRate (const SmartPointer< ir::Curve > &discounting, const SmartPointer< ir::Curve > &projection, const SmartPointer< ir::Curve > &projection2) override
	Implies quoting of benchmark instrument from interest rate curves provided. More...

virtual double	getQuoting () override
	Returns quoting. More...

virtual void	changeQuoting (double) override
	changes quoting of the IRS More...

virtual InterestRate	getInterestRate () const override
	Returns interest rates convention of fixed leg. More...

std::string	info () const override
	Returns a name of instrument: FRA. More...

Public Member Functions inherited from julian::LinearInstrument
	LinearInstrument ()
	constructor More...

virtual	~LinearInstrument ()
	destructor More...

Public Member Functions inherited from julian::ir::BuildingBlock
virtual	~BuildingBlock ()
	destructor More...

Private Attributes
Date	trade_date_
	The date on which IRS is dealt. More...

Date	start_date_
	The date initial date of first accrual period. More...

Date	maturity_date_
	The date on which the IRS expires. More...

CashFlowVector	fixed_leg_
	Fixed leg cash flows. More...

CashFlowVector	floating_leg_
	Floating leg cash flows. More...

InterestRate	fixed_leg_rate_
	Convention of fixed leg interest rate. More...

InterestRate	floating_leg_rate_
	Convention of floating leg interest rate. More...

double	notional_
	The amount for which IRS is traded. More...

double	quoting_
	Interest rate at which IRS is paying fixed leg. More...

Frequency	fixed_leg_freq_
	Frequency of payment of fixed leg. More...

Frequency	floating_leg_freq_
	Frequency of payment of floating leg. More...

Friends
std::ostream &	operator<< (std::ostream &, IRS &)
	Overloads stream operator. More...

Detailed Description

Class implements an plain vanilla (flo/fix) interest rate swap contract.

IRS is an agreement between two counter-parties to make periodic interest payments to one another during the life of the swap, on a predetermined set of dates, based on a notional principal amount. One party is the fixed-rate payer (rate is agreed at the time of trade of the swap); other party is the floating-rate payer (rate is determined during the life of the swap)

For more details see [3] and [31].

Examples:: bootstrapperComparison.cpp.

Constructor & Destructor Documentation

julian::IRS::IRS ( )

inline

Default constructor.

julian::IRS::IRS	(	Date	trade_date,
		Date	start_date,
		Date	maturity_date,
		CashFlowVector	fixed_leg,
		CashFlowVector	floating_leg,
		InterestRate	fixed_leg_rate,
		InterestRate	floating_leg_rate,
		double	notional,
		double	quoting,
		Frequency	fixed_leg_freq,
		Frequency	floating_leg_freq
	)

inline

Constructor.

Member Function Documentation

double julian::IRS::calibrate ( const SmartPointer< ir::Curve > & calibrated )

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Calibrated curve is used to price the fixed leg.

Implements julian::ir::BuildingBlock.

double julian::IRS::calibrate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	calibrated
	)

overridevirtual

Method calibrate is used by root finding estimator.

The estimator calibrates curve by finding the root of this method.

Calibrated curve is used as projection curve for floating leg. Discounting curve is used to prize fixed and floating leg.

Implements julian::ir::BuildingBlock.

void julian::IRS::changeQuoting ( double input )

overridevirtual

changes quoting of the IRS

Implements julian::ir::BuildingBlock.

IRS * julian::IRS::clone ( ) const

virtual

Virtual copy constructor.

Implements julian::LinearInstrument.

std::pair< CashFlowVector, CashFlowVector > julian::IRS::getCFs ( ) const

overridevirtual

Returns the sets of cashflows associated with IRS.

Implements julian::ir::BuildingBlock.

Date julian::IRS::getDate ( ) const

overridevirtual

returns maturity of IRS

Implements julian::ir::BuildingBlock.

InterestRate julian::IRS::getInterestRate ( ) const

overridevirtual

Returns interest rates convention of fixed leg.

Implements julian::ir::BuildingBlock.

double julian::IRS::getParRate	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projection,
		const SmartPointer< ir::Curve > &	projection2
	)

overridevirtual

Implies quoting of benchmark instrument from interest rate curves provided.

Implements julian::ir::BuildingBlock.

double julian::IRS::getQuoting ( )

overridevirtual

Returns quoting.

Implements julian::ir::BuildingBlock.

std::string julian::IRS::info ( ) const

overridevirtual

Returns a name of instrument: FRA.

Implements julian::ir::BuildingBlock.

double julian::IRS::price ( const SmartPointer< ir::Curve > & c )

virtual

calculates price of IRS by summing the discounted CFs

Parameters

c	discounting curve

Implements julian::LinearInstrument.

double julian::IRS::price	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projecting,
		const SmartPointer< ir::Curve > &	,
		const SmartPointer< ir::Curve > &
	)

virtual

calculates price of IRS by summing the discounted CFs

Projecting curve is used to estimate CFs generated by floating leg. Discounting curve is used to discount CFs of both leg.

Parameters

discounting	discounting curve
projecting	projecting curve

Implements julian::LinearInstrument.

void julian::IRS::valuation ( const SmartPointer< ir::Curve > & c )

virtual

prints price and CFs of IRS

Implements julian::LinearInstrument.

void julian::IRS::valuation	(	const SmartPointer< ir::Curve > &	discounting,
		const SmartPointer< ir::Curve > &	projecting,
		const SmartPointer< ir::Curve > &	,
		const SmartPointer< ir::Curve > &
	)

virtual

prints price and CFs of IRS

Implements julian::LinearInstrument.

Friends And Related Function Documentation

std::ostream& operator<<	(	std::ostream &	s,
		IRS &	irs
	)

friend

Overloads stream operator.

This overloaded operator enables to print the curve on the console.

Member Data Documentation

CashFlowVector julian::IRS::fixed_leg_

private

Fixed leg cash flows.

Frequency julian::IRS::fixed_leg_freq_

private

Frequency of payment of fixed leg.

InterestRate julian::IRS::fixed_leg_rate_

private

Convention of fixed leg interest rate.

CashFlowVector julian::IRS::floating_leg_

private

Floating leg cash flows.

Frequency julian::IRS::floating_leg_freq_

private

Frequency of payment of floating leg.

InterestRate julian::IRS::floating_leg_rate_

private

Convention of floating leg interest rate.

Date julian::IRS::maturity_date_

private

The date on which the IRS expires.

double julian::IRS::notional_

private

The amount for which IRS is traded.

double julian::IRS::quoting_

private

Interest rate at which IRS is paying fixed leg.

Date julian::IRS::start_date_

private

The date initial date of first accrual period.

Date julian::IRS::trade_date_

private

The date on which IRS is dealt.

The documentation for this class was generated from the following files:

C:/Unix/home/OEM/jULIAN/src/instruments/linear/IRS.hpp
C:/Unix/home/OEM/jULIAN/src/instruments/linear/IRS.cpp

Public Member Functions

Private Attributes

Friends

Detailed Description

Constructor & Destructor Documentation

Member Function Documentation

Friends And Related Function Documentation

Member Data Documentation