Interest rate swap.
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#include <cfl/Data.hpp>
This class describes the parameters of interest rate swap. One side makes fixed payments according to simple fixed CashFlow and another side makes float payments according to the market (LIBOR) interest rate.
- See also
- CashFlow
cfl::Data::Swap::Swap |
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inline |
cfl::Data::Swap::Swap |
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const CashFlow & |
rCashFlow, |
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bool |
bPayFloat = true |
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Constructs the interest rate swap from the class CashFlow and determines the side of the contract by bPayFloat.
- Parameters
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rCashFlow | A constant reference to CashFlow |
bPayFloat | A side of the contract. If true then we pay float and receive fixed, if false then otherwise. |
double cfl::Data::CashFlow::notional |
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inherited |
unsigned cfl::Data::CashFlow::numberOfPayments |
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inherited |
The total number of payments.
bool cfl::Data::Swap::payFloat |
The side of the contract. If payFloat = true
, then we pay float and receive fixed. If payFloat = false
, then we pay fixed and receive float.
double cfl::Data::CashFlow::period |
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inherited |
The interval between two payments as year fraction.
double cfl::Data::CashFlow::rate |
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inherited |
The documentation for this class was generated from the following file: