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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2007 Roland Lichters
 Copyright (C) 2007 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

#include <ql/instruments/bmaswap.hpp>
#include <ql/cashflows/iborcoupon.hpp>
#include <ql/cashflows/averagebmacoupon.hpp>

namespace QuantLib {

    BMASwap::BMASwap(Type type,
                     Real nominal,
                     // Libor leg
                     const Schedule& liborSchedule,
                     Real liborFraction,
                     Spread liborSpread,
                     const boost::shared_ptr<IborIndex>& liborIndex,
                     const DayCounter& liborDayCount,
                     // BMA leg
                     const Schedule& bmaSchedule,
                     const boost::shared_ptr<BMAIndex>& bmaIndex,
                     const DayCounter& bmaDayCount)
    : Swap(2), type_(type), nominal_(nominal),
      liborFraction_(liborFraction), liborSpread_(liborSpread)  {

        BusinessDayConvention convention =

        legs_[0] = IborLeg(liborSchedule, liborIndex)

        legs_[1] = AverageBMALeg(bmaSchedule, bmaIndex)

        for (Size j=0; j<2; ++j) {
            for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)

        switch (type_) {
          case Payer:
            payer_[0] = +1.0;
            payer_[1] = -1.0;
          case Receiver:
            payer_[0] = -1.0;
            payer_[1] = +1.0;
            QL_FAIL("Unknown BMA-swap type");

    Real BMASwap::liborFraction() const {
        return liborFraction_;

    Spread BMASwap::liborSpread() const {
        return liborSpread_;

    Real BMASwap::nominal() const {
        return nominal_;

00089     BMASwap::Type BMASwap::type() const {
        return type_;

    const Leg& BMASwap::liborLeg() const {
        return legs_[0];

    const Leg& BMASwap::bmaLeg() const {
        return legs_[1];

    Real BMASwap::liborLegBPS() const {
        QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");
        return legBPS_[0];

    Real BMASwap::liborLegNPV() const {
        QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");
        return legNPV_[0];

    Real BMASwap::fairLiborFraction() const {
        static Spread basisPoint = 1.0e-4;

        Real spreadNPV = (liborSpread_/basisPoint)*liborLegBPS();
        Real pureLiborNPV = liborLegNPV() - spreadNPV;
        QL_REQUIRE(pureLiborNPV != 0.0,
                   "result not available (null libor NPV)");
        return -liborFraction_ * (bmaLegNPV() + spreadNPV) / pureLiborNPV;

    Spread BMASwap::fairLiborSpread() const {
        static Spread basisPoint = 1.0e-4;

        return liborSpread_ - NPV()/(liborLegBPS()/basisPoint);

    Real BMASwap::bmaLegBPS() const {
        QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available");
        return legBPS_[1];

    Real BMASwap::bmaLegNPV() const {
        QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");
        return legNPV_[1];


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