1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
5 Copyright (C) 2003, 2004, 2005, 2006, 2007 StatPro Italia srl
6 Copyright (C) 2006, 2008 Ferdinando Ametrano
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file vanillaswap.hpp
23 \brief Simple fixed-rate vs Libor swap
24*/
25
26#ifndef quantlib_vanilla_swap_hpp
27#define quantlib_vanilla_swap_hpp
28
29#include <ql/instruments/fixedvsfloatingswap.hpp>
30#include <ql/time/daycounter.hpp>
31#include <ql/time/schedule.hpp>
32#include <ql/optional.hpp>
33
34namespace QuantLib {
35
36 class IborIndex;
37
38 //! Plain-vanilla swap: fix vs ibor leg
39 /*! \ingroup instruments
40
41 If no payment convention is passed, the convention of the
42 floating-rate schedule is used.
43
44 \warning if <tt>Settings::includeReferenceDateCashFlows()</tt>
45 is set to <tt>true</tt>, payments occurring at the
46 settlement date of the swap might be included in the
47 NPV and therefore affect the fair-rate and
48 fair-spread calculation. This might not be what you
49 want.
50
51 \test
52 - the correctness of the returned value is tested by checking
53 that the price of a swap paying the fair fixed rate is null.
54 - the correctness of the returned value is tested by checking
55 that the price of a swap receiving the fair floating-rate
56 spread is null.
57 - the correctness of the returned value is tested by checking
58 that the price of a swap decreases with the paid fixed rate.
59 - the correctness of the returned value is tested by checking
60 that the price of a swap increases with the received
61 floating-rate spread.
62 - the correctness of the returned value is tested by checking
63 it against a known good value.
64 */
65 class VanillaSwap : public FixedVsFloatingSwap {
66 public:
67 VanillaSwap(Type type,
68 Real nominal,
69 Schedule fixedSchedule,
70 Rate fixedRate,
71 DayCounter fixedDayCount,
72 Schedule floatSchedule,
73 ext::shared_ptr<IborIndex> iborIndex,
74 Spread spread,
75 DayCounter floatingDayCount,
76 ext::optional<BusinessDayConvention> paymentConvention = ext::nullopt,
77 ext::optional<bool> useIndexedCoupons = ext::nullopt);
78
79 private:
80 void setupFloatingArguments(arguments* args) const override;
81 };
82
83}
84
85#endif
86

source code of quantlib/ql/instruments/vanillaswap.hpp