Class MtMCrossCurrencyBasisSwapResults

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

The results an engine returns for a mark-to-market cross-currency basis swap: the cross-currency swap's, with each leg's fair spread and the FX rates and notionals of the resettable coupons.

[Experimental("NQL0001")]
public sealed record MtMCrossCurrencyBasisSwapResults : CrossCurrencySwapResults, IEquatable<InstrumentResults>, IEquatable<SwapResults>, IEquatable<CrossCurrencySwapResults>, IEquatable<MtMCrossCurrencyBasisSwapResults>

Inheritance

object

InstrumentResults

SwapResults

CrossCurrencySwapResults

MtMCrossCurrencyBasisSwapResults

Implements

IEquatable<InstrumentResults>

IEquatable<SwapResults>

IEquatable<CrossCurrencySwapResults>

IEquatable<MtMCrossCurrencyBasisSwapResults>

Inherited Members

CrossCurrencySwapResults.Equals(SwapResults)

CrossCurrencySwapResults.InCcyLegNPV

CrossCurrencySwapResults.InCcyLegBPS

CrossCurrencySwapResults.NpvDateDiscounts

SwapResults.Equals(InstrumentResults)

SwapResults.LegNPV

SwapResults.LegBPS

SwapResults.StartDiscounts

SwapResults.EndDiscounts

SwapResults.NpvDateDiscount

InstrumentResults.Result<T>(string)

InstrumentResults.NPV

InstrumentResults.ErrorEstimate

InstrumentResults.ValuationDate

InstrumentResults.AdditionalResults

object.GetType()

object.Equals(object, object)

object.ReferenceEquals(object, object)

Remarks

A fair spread is null where QuantLib's reader throws "Fair FX-base spread is not available" (or FX-quote): an expired swap's, or one whose leg's BPS is unknown. The rates and notionals follow the order of the resettable leg's coupons that haven't occurred; they are empty for an expired swap. Equality compares the arrays element by element.

Constructors

MtMCrossCurrencyBasisSwapResults()

Initializes a new instance of the MtMCrossCurrencyBasisSwapResults class.

public MtMCrossCurrencyBasisSwapResults()

Properties

EqualityContract

protected override Type EqualityContract { get; }

Property Value

Type

FairFxBaseSpread

Gets the FX base-currency leg's spread that gives the swap a zero NPV.

public double? FairFxBaseSpread { get; init; }

Property Value

double?

FairFxQuoteSpread

Gets the FX quote-currency leg's spread that gives the swap a zero NPV.

public double? FairFxQuoteSpread { get; init; }

Property Value

double?

FxResetNotionals

Gets the notionals of the resettable coupons, in the resettable leg's currency.

public ImmutableArray<double> FxResetNotionals { get; init; }

Property Value

ImmutableArray<double>

FxResetRates

Gets the FX rates the resettable coupons' notionals are converted at.

public ImmutableArray<double> FxResetRates { get; init; }

Property Value

ImmutableArray<double>

Methods

Equals(MtMCrossCurrencyBasisSwapResults?)

public bool Equals(MtMCrossCurrencyBasisSwapResults? other)

Parameters

other MtMCrossCurrencyBasisSwapResults

Returns

bool

Equals(CrossCurrencySwapResults?)

public override sealed bool Equals(CrossCurrencySwapResults? other)

Parameters

other CrossCurrencySwapResults

Returns

bool

Equals(object?)

public override bool Equals(object? obj)

Parameters

obj object

Returns

bool

GetHashCode()

public override int GetHashCode()

Returns

int

PrintMembers(StringBuilder)

protected override bool PrintMembers(StringBuilder builder)

Parameters

builder StringBuilder

Returns

bool

ToString()

public override string ToString()

Returns

string

Operators

operator ==(MtMCrossCurrencyBasisSwapResults?, MtMCrossCurrencyBasisSwapResults?)

public static bool operator ==(MtMCrossCurrencyBasisSwapResults? left, MtMCrossCurrencyBasisSwapResults? right)

Parameters

left MtMCrossCurrencyBasisSwapResults

right MtMCrossCurrencyBasisSwapResults

Returns

bool

operator !=(MtMCrossCurrencyBasisSwapResults?, MtMCrossCurrencyBasisSwapResults?)

public static bool operator !=(MtMCrossCurrencyBasisSwapResults? left, MtMCrossCurrencyBasisSwapResults? right)

Parameters

left MtMCrossCurrencyBasisSwapResults

right MtMCrossCurrencyBasisSwapResults

Returns

bool