Currency Interest Rate Swap More...

#include <qle/instruments/currencyswap.hpp>

Inheritance diagram for CurrencySwap:

Public Member Functions
LazyObject interface
void	alwaysForwardNotifications () override

Observable interface
void	deepUpdate () override

Additional interface
Date	startDate () const

Date	maturityDate () const

Real	legBPS (Size j) const

Real	legNPV (Size j) const

Real	inCcyLegBPS (Size j) const

Real	inCcyLegNPV (Size j) const

DiscountFactor	startDiscounts (Size j) const

DiscountFactor	endDiscounts (Size j) const

DiscountFactor	npvDateDiscount () const

const Leg &	leg (Size j) const

const Currency &	legCurrency (Size j) const

std::vector< Leg >	legs ()

std::vector< Currency >	currencies ()

Instrument interface
std::vector< Leg >	legs_

std::vector< Real >	payer_

std::vector< Currency >	currency_

bool	isPhysicallySettled_

bool	isResettable_

std::vector< Real >	legNPV_

std::vector< Real >	inCcyLegNPV_

std::vector< Real >	legBPS_

std::vector< Real >	inCcyLegBPS_

std::vector< DiscountFactor >	startDiscounts_

std::vector< DiscountFactor >	endDiscounts_

DiscountFactor	npvDateDiscount_

bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

void	fetchResults (const PricingEngine::results *) const override

void	setupExpired () const override

Constructors
	CurrencySwap (const std::vector< Leg > &legs, const std::vector< bool > &payer, const std::vector< Currency > &currency, const bool isPhysicallySettled=true, const bool isResettable=false)

	CurrencySwap (Size legs)

Detailed Description

Currency Interest Rate Swap

This instrument generalizes the QuantLib Swap instrument in that it allows multiple legs with different currencies (one per leg)

Constructor & Destructor Documentation

Multi leg constructor.

CurrencySwap ( Size legs )

protected

This constructor can be used by derived classes that will build their legs themselves.