Class RendistatoEquivalentSwapSpreadQuote

Namespace

NanoQL.Instruments

Assembly

NanoQL.dll

The spread of a Rendistato calculator's basket yield over its equivalent swap's fair rate, as a quote.

public sealed class RendistatoEquivalentSwapSpreadQuote

Inheritance

object

RendistatoEquivalentSwapSpreadQuote

Inherited Members

object.GetType()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable; its calculator computes when it is built, so the quote has no validity of its own (QuantLib's isValid reports whether the calculator computes).

Constructors

RendistatoEquivalentSwapSpreadQuote(RendistatoCalculator)

Initializes a new instance of the RendistatoEquivalentSwapSpreadQuote class.

public RendistatoEquivalentSwapSpreadQuote(RendistatoCalculator r)

Parameters

r RendistatoCalculator

The calculator.

Exceptions

ArgumentNullException

r is null.

Properties

Value

Gets the basket's yield less the equivalent swap's fair rate.

public double Value { get; }

Property Value

double