quantlib.instruments.fixedvsfloatingswap.
FixedVsFloatingSwap¶
- class FixedVsFloatingSwap¶
Bases:
Swap- Attributes:
error_estimateInstrument.error_estimate: Real
- fair_rate
- fair_spread
- fixed_day_count
- fixed_leg
- fixed_leg_BPS
- fixed_leg_NPV
- fixed_rate
- fixed_schedule
- floating_day_count
- floating_leg
- floating_leg_BPS
- floating_leg_NPV
- floating_schedule
is_expiredInstrument.is_expired: bool
- maturity_date
net_present_valueInstrument net present value.
- nominal
- nominals
npvShortcut to the net_present_value property.
- spread
- start_date
- type
valuation_datethe date the net present value refers to.
Methods
endDiscounts(self, Size j)leg(self, int i)leg_BPS(self, Size j)leg_NPV(self, Size j)npv_date_discount(self)set_pricing_engine(self, PricingEngine engine)Sets the pricing engine.
startDiscounts(self, Size j)