com.github.vonrosen.quantlib

Class VanillaSwap

java.lang.Object

com.github.vonrosen.quantlib.Instrument

com.github.vonrosen.quantlib.Swap

com.github.vonrosen.quantlib.VanillaSwap

public class VanillaSwap
extends Swap

Field Summary

Fields

Modifier and Type	Field and Description
static _VanillaSwap.Type	Payer
static _VanillaSwap.Type	Receiver

Fields inherited from class com.github.vonrosen.quantlib.Instrument

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	VanillaSwap(_VanillaSwap.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule floatSchedule, IborIndex index, double spread, DayCounter floatingDayCount)
protected	VanillaSwap(long cPtr, boolean cMemoryOwn)

Method Summary

Modifier and Type	Method and Description
void	delete()
double	fairRate()
double	fairSpread()
protected void	finalize()
DayCounter	fixedDayCount()
Leg	fixedLeg()
double	fixedLegBPS()
double	fixedLegNPV()
double	fixedRate()
Schedule	fixedSchedule()
DayCounter	floatingDayCount()
Leg	floatingLeg()
double	floatingLegBPS()
double	floatingLegNPV()
Schedule	floatingSchedule()
protected static long	getCPtr(VanillaSwap obj)
double	nominal()
double	spread()

Methods inherited from class com.github.vonrosen.quantlib.Swap

getCPtr, leg, legNPV, maturityDate, startDate

Methods inherited from class com.github.vonrosen.quantlib.Instrument

__deref__, asObservable, errorEstimate, freeze, getCPtr, isExpired, isNull, NPV, recalculate, setPricingEngine, unfreeze

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

Receiver

public static final _VanillaSwap.Type Receiver

Payer

public static final _VanillaSwap.Type Payer

Constructor Detail

VanillaSwap

protected VanillaSwap(long cPtr,
                      boolean cMemoryOwn)

VanillaSwap

public VanillaSwap(_VanillaSwap.Type type,
                   double nominal,
                   Schedule fixedSchedule,
                   double fixedRate,
                   DayCounter fixedDayCount,
                   Schedule floatSchedule,
                   IborIndex index,
                   double spread,
                   DayCounter floatingDayCount)

Method Detail

getCPtr

protected static long getCPtr(VanillaSwap obj)

finalize

protected void finalize()

Overrides:

finalize in class Swap

delete

public void delete()

Overrides:

delete in class Swap

fairRate

public double fairRate()

fairSpread

public double fairSpread()

fixedLegBPS

public double fixedLegBPS()

floatingLegBPS

public double floatingLegBPS()

fixedLegNPV

public double fixedLegNPV()

floatingLegNPV

public double floatingLegNPV()

fixedLeg

public Leg fixedLeg()

floatingLeg

public Leg floatingLeg()

nominal

public double nominal()

fixedSchedule

public Schedule fixedSchedule()

floatingSchedule

public Schedule floatingSchedule()

fixedRate

public double fixedRate()

spread

public double spread()

floatingDayCount

public DayCounter floatingDayCount()

fixedDayCount

public DayCounter fixedDayCount()