Class SwapCashFlows

Namespace

NanoQL.Experimental

Assembly

NanoQL.dll

A fixed-versus-floating swap mapped to deterministic cash flows under a tenor basis: the floating leg's (IborLegCashFlows) and the fixed coupons that start on or after the discount curve's reference date, with their annuity weights: QuantLib's SwapCashFlows.

[Experimental("NQL0001")]
public class SwapCashFlows : IborLegCashFlows

Inheritance

object

IborLegCashFlows

SwapCashFlows

Derived

SwaptionCashFlows

Inherited Members

IborLegCashFlows.Times(IEnumerable<CashFlow>)

IborLegCashFlows.FloatLeg

IborLegCashFlows.FloatTimes

IborLegCashFlows.FloatWeights

IborLegCashFlows.RefDate

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

An extension point, as QuantLib's: SwaptionCashFlows derives from it. QuantLib reads each fixed flow as a coupon unchecked, undefined for one that isn't; here it is refused.

Constructors

SwapCashFlows()

Initializes a new instance of the SwapCashFlows class, with no flows: QuantLib's default constructor.

public SwapCashFlows()

SwapCashFlows(FixedVsFloatingSwap, YieldTermStructure, EvaluationContext, bool)

Initializes a new instance of the SwapCashFlows class.

public SwapCashFlows(FixedVsFloatingSwap swap, YieldTermStructure discountCurve, EvaluationContext context, bool contTenorSpread = true)

Parameters

swap FixedVsFloatingSwap

The swap.

discountCurve YieldTermStructure

The discount curve, whose reference date the times start from.

context EvaluationContext

The evaluation context, whose fixings and forecasts the floating coupons' rates read.

contTenorSpread bool

Whether the floating spreads are continuously compounded and paid at each coupon's start; otherwise simply compounded and paid at its payment date.

Exceptions

ArgumentNullException

An argument is null.

ArgumentException

The floating leg is empty.

NanoQLException

A flow isn't a coupon, or a rate can't be read.

Properties

AnnuityWeights

Gets the fixed coupons' annuity weights, each nominal times accrual period.

public ImmutableArray<double> AnnuityWeights { get; }

Property Value

ImmutableArray<double>

FixedLeg

Gets the fixed coupons that start on or after the reference date.

public ImmutableArray<CashFlow> FixedLeg { get; }

Property Value

ImmutableArray<CashFlow>

FixedTimes

Gets the fixed coupons' times from the reference date, Actual/365 (Fixed).

public ImmutableArray<double> FixedTimes { get; }

Property Value

ImmutableArray<double>

FixedWeights

Gets the fixed coupons' amounts.

public ImmutableArray<double> FixedWeights { get; }

Property Value

ImmutableArray<double>