CFL
Public Member Functions | Public Attributes | List of all members
cfl::Data::Swap Class Reference

Interest rate swap. More...

#include <cfl/Data.hpp>

Inheritance diagram for cfl::Data::Swap:
Inheritance graph
[legend]

Public Member Functions

 Swap ()
 
 Swap (const CashFlow &rCashFlow, bool bPayFloat=true)
 

Public Attributes

double notional
 
unsigned numberOfPayments
 
bool payFloat
 
double period
 
double rate
 

Detailed Description

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

Constructor & Destructor Documentation

cfl::Data::Swap::Swap ( )
inline

Default constructor.

cfl::Data::Swap::Swap ( const CashFlow rCashFlow,
bool  bPayFloat = true 
)

Constructs the interest rate swap from the class CashFlow and determines the side of the contract by bPayFloat.

Parameters
rCashFlowA constant reference to CashFlow
bPayFloatA side of the contract. If true then we pay float and receive fixed, if false then otherwise.

Member Data Documentation

double cfl::Data::CashFlow::notional
inherited

The notional amount.

unsigned cfl::Data::CashFlow::numberOfPayments
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
inherited

The interval between two payments as year fraction.

double cfl::Data::CashFlow::rate
inherited

The fixed interest rate.


The documentation for this class was generated from the following file: