Class MakeVanillaSwap

helper class

This class provides a more comfortable way to instantiate standard market swap.

Hierarchy

MakeVanillaSwap

Implements

NullaryFunction<VanillaSwap>

Index

Constructors

constructor

Methods

Constructors

constructor

new MakeVanillaSwap(swapTenor: Period, index: IborIndex, fixedRate?: Rate, forwardStart?: Period): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:35
Parameters
- swapTenor: Period
- index: IborIndex
- Default value fixedRate: Rate = QL_NULL_REAL
- Default value forwardStart: Period = new Period()
Returns MakeVanillaSwap

Properties

Private _effectiveDate

_effectiveDate: Date

Private _engine

_engine: PricingEngine

Private _fixedCalendar

_fixedCalendar: Calendar

Private _fixedConvention

_fixedConvention: BusinessDayConvention

Private _fixedDayCount

_fixedDayCount: DayCounter

Private _fixedEndOfMonth

_fixedEndOfMonth: boolean

Private _fixedFirstDate

_fixedFirstDate: Date

Private _fixedNextToLastDate

_fixedNextToLastDate: Date

Private _fixedRate

_fixedRate: Rate

Private _fixedRule

_fixedRule: Rule

Private _fixedTenor

_fixedTenor: Period

Private _fixedTerminationDateConvention

_fixedTerminationDateConvention: BusinessDayConvention

Private _floatCalendar

_floatCalendar: Calendar

Private _floatConvention

_floatConvention: BusinessDayConvention

Private _floatDayCount

_floatDayCount: DayCounter

Private _floatEndOfMonth

_floatEndOfMonth: boolean

Private _floatFirstDate

_floatFirstDate: Date

Private _floatNextToLastDate

_floatNextToLastDate: Date

Private _floatRule

_floatRule: Rule

Private _floatSpread

_floatSpread: Spread

Private _floatTenor

_floatTenor: Period

Private _floatTerminationDateConvention

_floatTerminationDateConvention: BusinessDayConvention

Private _forwardStart

_forwardStart: Period

Private _iborIndex

_iborIndex: IborIndex

Private _nominal

_nominal: Real

Private _settlementDays

_settlementDays: Natural

Private _swapTenor

_swapTenor: Period

Private _terminationDate

_terminationDate: Date

Private _type

_type: Type

Methods

f

f(): VanillaSwap

Implementation of NullaryFunction.f
- Defined in ql/instruments/makevanillaswap.ts:66
Returns VanillaSwap

receiveFixed

receiveFixed(flag?: boolean): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:207
Parameters
- Default value flag: boolean = true
Returns MakeVanillaSwap

withDiscountingTermStructure

withDiscountingTermStructure(d: Handle<YieldTermStructure>): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:342
Parameters
- d: Handle<YieldTermStructure>
Returns MakeVanillaSwap

withEffectiveDate

withEffectiveDate(effectiveDate: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:228
Parameters
- effectiveDate: Date
Returns MakeVanillaSwap

withFixedLegCalendar

withFixedLegCalendar(cal: Calendar): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:250
Parameters
- cal: Calendar
Returns MakeVanillaSwap

withFixedLegConvention

withFixedLegConvention(bdc: BusinessDayConvention): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:255
Parameters
- bdc: BusinessDayConvention
Returns MakeVanillaSwap

withFixedLegDayCount

withFixedLegDayCount(dc: DayCounter): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:286
Parameters
- dc: DayCounter
Returns MakeVanillaSwap

withFixedLegEndOfMonth

withFixedLegEndOfMonth(flag?: boolean): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:271
Parameters
- Default value flag: boolean = true
Returns MakeVanillaSwap

withFixedLegFirstDate

withFixedLegFirstDate(d: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:276
Parameters
- d: Date
Returns MakeVanillaSwap

withFixedLegNextToLastDate

withFixedLegNextToLastDate(d: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:281
Parameters
- d: Date
Returns MakeVanillaSwap

withFixedLegRule

withFixedLegRule(r: Rule): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:266
Parameters
- r: Rule
Returns MakeVanillaSwap

withFixedLegTenor

withFixedLegTenor(t: Period): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:245
Parameters
- t: Period
Returns MakeVanillaSwap

withFixedLegTerminationDateConvention

withFixedLegTerminationDateConvention(bdc: BusinessDayConvention): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:260
Parameters
- bdc: BusinessDayConvention
Returns MakeVanillaSwap

withFloatingLegCalendar

withFloatingLegCalendar(cal: Calendar): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:296
Parameters
- cal: Calendar
Returns MakeVanillaSwap

withFloatingLegConvention

withFloatingLegConvention(bdc: BusinessDayConvention): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:301
Parameters
- bdc: BusinessDayConvention
Returns MakeVanillaSwap

withFloatingLegDayCount

withFloatingLegDayCount(dc: DayCounter): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:332
Parameters
- dc: DayCounter
Returns MakeVanillaSwap

withFloatingLegEndOfMonth

withFloatingLegEndOfMonth(flag?: boolean): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:317
Parameters
- Default value flag: boolean = true
Returns MakeVanillaSwap

withFloatingLegFirstDate

withFloatingLegFirstDate(d: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:322
Parameters
- d: Date
Returns MakeVanillaSwap

withFloatingLegNextToLastDate

withFloatingLegNextToLastDate(d: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:327
Parameters
- d: Date
Returns MakeVanillaSwap

withFloatingLegRule

withFloatingLegRule(r: Rule): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:312
Parameters
- r: Rule
Returns MakeVanillaSwap

withFloatingLegSpread

withFloatingLegSpread(sp: Spread): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:337
Parameters
- sp: Spread
Returns MakeVanillaSwap

withFloatingLegTenor

withFloatingLegTenor(t: Period): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:291
Parameters
- t: Period
Returns MakeVanillaSwap

withFloatingLegTerminationDateConvention

withFloatingLegTerminationDateConvention(bdc: BusinessDayConvention): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:306
Parameters
- bdc: BusinessDayConvention
Returns MakeVanillaSwap

withNominal

withNominal(n: Real): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:217
Parameters
- n: Real
Returns MakeVanillaSwap

withPricingEngine

withPricingEngine(engine: PricingEngine): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:348
Parameters
- engine: PricingEngine
Returns MakeVanillaSwap

withRule

withRule(r: Rule): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:239
Parameters
- r: Rule
Returns MakeVanillaSwap

withSettlementDays

withSettlementDays(settlementDays: Natural): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:222
Parameters
- settlementDays: Natural
Returns MakeVanillaSwap

withTerminationDate

withTerminationDate(terminationDate: Date): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:233
Parameters
- terminationDate: Date
Returns MakeVanillaSwap

withType

withType(type: Type): MakeVanillaSwap

- Defined in ql/instruments/makevanillaswap.ts:212
Parameters
- type: Type
Returns MakeVanillaSwap