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swap paying Libor against BMA coupons

Hierarchy

Implements

Index

Constructors

constructor

Properties

Protected _NPV

_NPV: Real

Protected _additionalResults

_additionalResults: Map<string, any> = new Map<string, any>()

_alwaysForward

_alwaysForward: boolean = false

_calculated

_calculated: boolean = false

Protected _endDiscounts

_endDiscounts: DiscountFactor[]

_engine

_engine: PricingEngine

Protected _errorEstimate

_errorEstimate: Real

_frozen

_frozen: boolean = false

_isDisposed

_isDisposed: boolean = false

Protected _legBPS

_legBPS: Real[]

Protected _legNPV

_legNPV: Real[]

Protected _legs

_legs: Leg[]

Private _liborFraction

_liborFraction: Rate

Private _liborSpread

_liborSpread: Rate

Private _nominal

_nominal: Real

Protected _npvDateDiscount

_npvDateDiscount: DiscountFactor

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _payer

_payer: Real[]

Protected _startDiscounts

_startDiscounts: DiscountFactor[]

Private _type

_type: Type

Protected _valuationDate

_valuationDate: Date

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

NPV

  • returns the net present value of the instrument.

    Returns Real

additionalResults

  • additionalResults(): Map<string, any>
  • returns all additional result returned by the pricing engine.

    Returns Map<string, any>

alwaysForwardNotifications

  • alwaysForwardNotifications(): void
  • This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.

    warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.

    Returns void

bmaLegBPS

  • Returns Real

bmaLegNPV

  • Returns Real

bmaleg

  • bmaleg(): Leg
  • Returns Leg

calculate

  • calculate(): void

deepUpdate

  • deepUpdate(): void

endDiscounts

errorEstimate

  • errorEstimate(): Real
  • returns the error estimate on the NPV when available.

    Returns Real

fairLiborFraction

  • fairLiborFraction(): Real
  • Returns Real

fairLiborSpread

  • Returns Spread

fetchResults

freeze

  • freeze(): void
  • This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.

    Returns void

init

init1

  • Parameters

    • firstLeg: Leg
    • secondLeg: Leg

    Returns Swap

init2

  • init2(legs: Leg[], payer: boolean[]): Swap
  • Parameters

    • legs: Leg[]
    • payer: boolean[]

    Returns Swap

init3

  • Parameters

    Returns Swap

isExpired

  • isExpired(): boolean

leg

  • Parameters

    Returns Leg

legBPS

  • Parameters

    Returns Real

legNPV

  • Parameters

    Returns Real

liborFraction

  • liborFraction(): Real
  • Returns Real

liborLegBPS

  • liborLegBPS(): Real
  • Returns Real

liborLegNPV

  • liborLegNPV(): Real
  • Returns Real

liborSpread

  • Returns Spread

liborleg

  • liborleg(): Leg
  • Returns Leg

maturityDate

  • maturityDate(): Date
  • Returns Date

nominal

  • Returns Real

npvDateDiscount

performCalculations

  • performCalculations(): void

recalculate

  • recalculate(): void
  • This method force the recalculation of any results which would otherwise be cached. It is not declared as const since it needs to call the non-const notifyObservers method.

    note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.

    Returns void

result

  • result(tag: string): any
  • returns any additional result returned by the pricing engine.

    Parameters

    • tag: string

    Returns any

setPricingEngine

  • set the pricing engine to be used.

    warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.

    Parameters

    Returns void

setupArguments

setupExpired

  • setupExpired(): void

startDate

  • startDate(): Date
  • Returns Date

startDiscounts

type

  • Returns Type

unfreeze

  • unfreeze(): void
  • This method reverts the effect of the freeze method, thus re-enabling recalculations.

    Returns void

update

  • update(): void

valuationDate

  • valuationDate(): Date
  • returns the date the net present value refers to.

    Returns Date