RiskParticipationAgreementTLock Class Reference

Inheritance diagram for RiskParticipationAgreementTLock:

Classes
class	arguments
class	engine
class	results

Public Member Functions
	RiskParticipationAgreementTLock (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond, Real bondNotional, bool payer, Real referenceRate, const DayCounter &dayCounter, const Date &terminationDate, const Date &paymentDate, const std::vector< Leg > &protectionFee, const bool protectionFeePayer, const std::vector< std::string > &protectionFeeCcys, const Real participationRate, const Date &protectionStart, const Date &protectionEnd, const bool settlesAccrual, const Real fixedRecoveryRate=Null< Real >())
bool	isExpired () const override
	Instrument interface.
const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond () const
	Inspectors.
bool	payer ()
Real	referenceRate () const
const DayCounter &	dayCounter () const
const Date &	terminationDate () const
const Date &	paymentDate () const
const std::vector< Leg > &	protectionFee () const
bool	protectionFeePayer () const
const std::vector< std::string > &	protectionFeeCcys () const
Real	participationRate () const
const Date &	protectionStart () const
const Date &	protectionEnd () const
bool	settlesAccrual () const
Real	fixedRecoveryRate () const
const Date &	maturity () const

Constructor & Destructor Documentation

RiskParticipationAgreementTLock()

RiskParticipationAgreementTLock	(	const QuantLib::ext::shared_ptr< QuantLib::Bond > &	bond,
		Real	bondNotional,
		bool	payer,
		Real	referenceRate,
		const DayCounter &	dayCounter,
		const Date &	terminationDate,
		const Date &	paymentDate,
		const std::vector< Leg > &	protectionFee,
		const bool	protectionFeePayer,
		const std::vector< std::string > &	protectionFeeCcys,
		const Real	participationRate,
		const Date &	protectionStart,
		const Date &	protectionEnd,
		const bool	settlesAccrual,
		const Real	fixedRecoveryRate = Null< Real >()
	)

The bond must be a fixed rate bond, i.e. it may only contain FixedCoupons. The udnerlying payout is (referenceRate - bond yield) * DV01 if payer = false, otherwise multiplied by -1. As in the swap RPA, protectionFeepayer = true means protection is received, protection fee is paid.