Single currency tenor basis swap. More...

#include <qle/instruments/tenorbasisswap.hpp>

Inheritance diagram for TenorBasisSwap:

Public Member Functions
Constructors
	TenorBasisSwap (const Date &effectiveDate, Real nominal, const Period &swapTenor, bool payLongIndex, const boost::shared_ptr< IborIndex > &longIndex, Spread longSpread, const boost::shared_ptr< IborIndex > &shortIndex, Spread shortSpread, const Period &shortPayTenor, DateGeneration::Rule rule=DateGeneration::Backward, bool includeSpread=false, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
	Constructor with conventions deduced from the indices.

	TenorBasisSwap (Real nominal, bool payLongIndex, const Schedule &longSchedule, const boost::shared_ptr< IborIndex > &longIndex, Spread longSpread, const Schedule &shortSchedule, const boost::shared_ptr< IborIndex > &shortIndex, Spread shortSpread, bool includeSpread=false, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
	Constructor using Schedules with a full interface.

Inspectors
Real	nominal () const

bool	payLongIndex () const

const Schedule &	longSchedule () const

const boost::shared_ptr< IborIndex > &	longIndex () const

Spread	longSpread () const

const Leg &	longLeg () const

const Schedule &	shortSchedule () const

const boost::shared_ptr< IborIndex > &	shortIndex () const

Spread	shortSpread () const

const Period &	shortPayTenor () const

bool	includeSpread () const

QuantExt::SubPeriodsCoupon1::Type	type () const

const Leg &	shortLeg () const

Results
Real	longLegBPS () const

Real	longLegNPV () const

Rate	fairLongLegSpread () const

Real	shortLegBPS () const

Real	shortLegNPV () const

Spread	fairShortLegSpread () const

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

Detailed Description

Single currency tenor basis swap.

Classes