CrossCcyFixFloatMtMResetSwap Class Reference

Cross currency fix float MtM resettable swap. More...

#include <qle/instruments/crossccyfixfloatmtmresetswap.hpp>

Inheritance diagram for CrossCcyFixFloatMtMResetSwap:

Classes
class	arguments
class	results

Public Member Functions
Constructors
	CrossCcyFixFloatMtMResetSwap (QuantLib::Real nominal, const QuantLib::Currency &fixedCurrency, const QuantLib::Schedule &fixedSchedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixedDayCount, const QuantLib::BusinessDayConvention &fixedPaymentBdc, QuantLib::Natural fixedPaymentLag, const QuantLib::Calendar &fixedPaymentCalendar, const QuantLib::Currency &floatCurrency, const QuantLib::Schedule &floatSchedule, const boost::shared_ptr< QuantLib::IborIndex > &floatIndex, QuantLib::Spread floatSpread, const QuantLib::BusinessDayConvention &floatPaymentBdc, QuantLib::Natural floatPaymentLag, const QuantLib::Calendar &floatPaymentCalendar, const boost::shared_ptr< FxIndex > &fxIdx, bool resetsOnFloatLeg=true, bool receiveFixed=true)
Inspectors
QuantLib::Real	nominal () const
const QuantLib::Currency &	fixedCurrency () const
const QuantLib::Schedule &	fixedSchedule () const
QuantLib::Rate	fixedRate () const
const QuantLib::DayCounter &	fixedDayCount () const
const QuantLib::BusinessDayConvention &	fixedPaymentBdc () const
QuantLib::Natural	fixedPaymentLag () const
const QuantLib::Calendar &	fixedPaymentCalendar () const
const QuantLib::Currency &	floatCurrency () const
const QuantLib::Schedule &	floatSchedule () const
const boost::shared_ptr< QuantLib::IborIndex > &	floatIndex () const
QuantLib::Spread	floatSpread () const
Additional interface
QuantLib::Rate	fairFixedRate () const
QuantLib::Spread	fairSpread () const
Public Member Functions inherited from CrossCcySwap
const Currency &	legCurrency (Size j) const
Real	inCcyLegBPS (Size j) const
Real	inCcyLegNPV (Size j) const
DiscountFactor	npvDateDiscounts (Size j) const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
	CrossCcySwap (const Leg &firstLeg, const Currency &firstLegCcy, const Leg &secondLeg, const Currency &secondLegCcy)
	First leg is paid and the second is received.
	CrossCcySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currencies)

Instrument interface
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
void	setupExpired () const override

Additional Inherited Members
Protected Member Functions inherited from CrossCcySwap
void	setupExpired () const override
	CrossCcySwap (Size legs)
Protected Attributes inherited from CrossCcySwap
std::vector< Currency >	currencies_

Detailed Description

Cross currency fix float MtM resettable swap.

The foreign leg holds the pay currency cashflows and domestic leg holds the receive currency cashflows. The notional resets are applied to the domestic leg.

    \ingroup instruments

Constructor & Destructor Documentation

CrossCcyFixFloatMtMResetSwap()

CrossCcyFixFloatMtMResetSwap	(	QuantLib::Real	nominal,
		const QuantLib::Currency &	fixedCurrency,
		const QuantLib::Schedule &	fixedSchedule,
		QuantLib::Rate	fixedRate,
		const QuantLib::DayCounter &	fixedDayCount,
		const QuantLib::BusinessDayConvention &	fixedPaymentBdc,
		QuantLib::Natural	fixedPaymentLag,
		const QuantLib::Calendar &	fixedPaymentCalendar,
		const QuantLib::Currency &	floatCurrency,
		const QuantLib::Schedule &	floatSchedule,
		const boost::shared_ptr< QuantLib::IborIndex > &	floatIndex,
		QuantLib::Spread	floatSpread,
		const QuantLib::BusinessDayConvention &	floatPaymentBdc,
		QuantLib::Natural	floatPaymentLag,
		const QuantLib::Calendar &	floatPaymentCalendar,
		const boost::shared_ptr< FxIndex > &	fxIdx,
		bool	resetsOnFloatLeg = true,
		bool	receiveFixed = true
	)

First leg holds the pay currency cashflows and the second leg holds the receive currency cashflows.