Class AssetSwap

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

A bond's asset swap: the bond's coupons and final payment against a floating leg, at par (the bond bought at par, an upfront paying its premium) or at market (the floating notional scaled by the bond's dirty price); D. O'Kane, "Introduction to Asset Swaps", Lehman Brothers European Fixed Income Research, January 2000.

public sealed class AssetSwap : Swap

Inheritance

object

Instrument

Swap

AssetSwap

Inherited Members

Swap.IsExpired(EvaluationContext)

Swap.Validate()

Swap.StartDate()

Swap.MaturityDate()

Swap.Leg(int)

Swap.Payer(int)

Swap.NumberOfLegs

Swap.Legs

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

The bond's clean price is its (forward) price at the floating schedule's start, the upfront date. On an overnight index the floating schedule must be given, and the floating coupons are overnight-indexed. QuantLib warns that the fair prices are wrong with indexed coupons.

A non-par repayment is per 100 of the bond's notional at the upfront date, as the fair repayment reads it, and paid as that share of the notional, where QuantLib's pays the number given as an amount (assetswap.cpp:125-134); with none given the swap repays the bond's redemption, and its repayment is that redemption per 100 of notional, where QuantLib's stores 100 whatever the redemption (:130). On a bond of 100 redeemed at 100 the two agree.

The swap is priced by DiscountingSwapEngine's asset swap overload, its fair values derived from the swap's results; QuantLib's AssetSwap::arguments, which no QuantLib engine reads, aren't ported.

Constructors

AssetSwap(bool, Bond, double, IborIndex, double, EvaluationContext, Schedule?, DayCounter?, bool, double, double?, Date?)

Initializes a new instance of the AssetSwap class.

public AssetSwap(bool payBondCoupon, Bond bond, double bondCleanPrice, IborIndex iborIndex, double spread, EvaluationContext context, Schedule? floatSchedule = null, DayCounter? floatingDayCount = null, bool parSwap = true, double gearing = 1, double? nonParRepayment = null, Date? dealMaturity = null)

Parameters

payBondCoupon bool

Whether the bond's coupons are paid (the floating leg received).

bond Bond

The bond.

bondCleanPrice double

The bond's clean price at the upfront date, per 100 of notional.

iborIndex IborIndex

The floating leg's index, an Ibor or an overnight one.

spread double

The floating leg's spread.

context EvaluationContext

The evaluation context, from which the bond's settlement date starts a default floating schedule, and whose at-par switch the floating coupons' default pricer reads.

floatSchedule Schedule

The floating schedule, or null for one from the bond's settlement date to its maturity on the index's tenor, calendar and convention; required on an overnight index.

floatingDayCount DayCounter

The floating coupons' day counter, or null for the index's.

parSwap bool

Whether the swap is at par, or at market.

gearing double

The floating leg's gearing.

nonParRepayment double?

The final repayment per 100 of notional, or null for the bond's redemption.

dealMaturity Date?

The deal's maturity, or null for the floating schedule's end.

Exceptions

ArgumentNullException

bond, iborIndex or context is null.

ArgumentException

The deal maturity is after the schedule's end or not after its start, each with QuantLib's text.

NanoQLException

An overnight index without a floating schedule, or a bond without cash flows, each with QuantLib's text.

Properties

Bond

Gets the bond.

public Bond Bond { get; }

Property Value

Bond

BondLeg

Gets the bond leg: its coupons up to the deal's maturity, any accrued coupon, and the final payment.

public ImmutableArray<CashFlow> BondLeg { get; }

Property Value

ImmutableArray<CashFlow>

CleanPrice

Gets the bond's clean price at the upfront date.

public double CleanPrice { get; }

Property Value

double

FloatingLeg

Gets the floating leg, with the upfront and the back payment of a par swap, or the final notional exchange of a market one.

public ImmutableArray<CashFlow> FloatingLeg { get; }

Property Value

ImmutableArray<CashFlow>

NonParRepayment

Gets the final repayment per 100 of notional: the one given, or the bond's redemption's.

public double NonParRepayment { get; }

Property Value

double

ParSwap

Gets whether the swap is at par, or at market.

public bool ParSwap { get; }

Property Value

bool

PayBondCoupon

Gets whether the bond's coupons are paid.

public bool PayBondCoupon { get; }

Property Value

bool

Spread

Gets the floating leg's spread.

public double Spread { get; }

Property Value

double

UpfrontDate

Gets the upfront date, the floating schedule's start.

public Date UpfrontDate { get; }

Property Value

Date

Methods

FairCleanPrice(AssetSwapResults)

The bond's clean price that gives the swap a zero NPV.

public static double FairCleanPrice(AssetSwapResults results)

Parameters

results AssetSwapResults

The swap's results.

Returns

double

The fair clean price.

Exceptions

ArgumentNullException

results is null.

NanoQLException

The results hold none, a seasoned deal's, QuantLib's "fair clean price not available for seasoned deal".

FairNonParRepayment(AssetSwapResults)

The final repayment that gives the swap a zero NPV.

public static double FairNonParRepayment(AssetSwapResults results)

Parameters

results AssetSwapResults

The swap's results.

Returns

double

The fair repayment.

Exceptions

ArgumentNullException

results is null.

NanoQLException

The results hold none, an expired leg's, QuantLib's "fair non par repayment not available for expired leg".

FairSpread(AssetSwapResults)

The spread that gives the swap a zero NPV.

public static double FairSpread(AssetSwapResults results)

Parameters

results AssetSwapResults

The swap's results.

Returns

double

The fair spread.

Exceptions

ArgumentNullException

results is null.

NanoQLException

The results hold none, QuantLib's "fair spread not available".

FetchResults(InstrumentResults)

Reads an engine's results into the instrument's, applying any derivations the instrument makes.

public override AssetSwapResults FetchResults(InstrumentResults results)

Parameters

results InstrumentResults

The engine's results.

Returns

AssetSwapResults

The instrument's results.

Remarks

QuantLib's fairSpread, fairCleanPrice and fairNonParRepayment, each derived from the swap's results unless the results hold it: the fair clean price needs the floating leg's start discount, unknown for a seasoned deal, and the fair repayment its end discount.

Exceptions

ArgumentException

The results aren't a swap's, or a per-leg result has the wrong number of legs.

FloatingLegBPS(AssetSwapResults)

The floating leg's BPS.

public static double FloatingLegBPS(AssetSwapResults results)

Parameters

results AssetSwapResults

The swap's results.

Returns

double

The BPS.

Exceptions

ArgumentNullException

results is null.

NanoQLException

The results hold none, QuantLib's "floating-leg BPS not available".

FloatingLegNPV(AssetSwapResults)

The floating leg's NPV.

public static double FloatingLegNPV(AssetSwapResults results)

Parameters

results AssetSwapResults

The swap's results.

Returns

double

The NPV.

Exceptions

ArgumentNullException

results is null.

NanoQLException

The results hold none, QuantLib's "floating-leg NPV not available".

SetupExpired()

The results of an expired instrument: a zero value and error estimate, and no valuation date.

public override AssetSwapResults SetupExpired()

Returns

AssetSwapResults

The expired results.

Remarks

An expired swap has zero leg NPVs, BPS and discounts, so fair values of NaN, the quotients of zeros QuantLib derives (assetswap.cpp:236-304).