quantlib.instruments.vanillaswap.
VanillaSwap¶
- class VanillaSwap(Type type, Real nominal, Schedule fixed_schedule, Rate fixed_rate, DayCounter fixed_daycount, Schedule float_schedule, IborIndex ibor_index, Spread spread, DayCounter floating_daycount, int payment_convention=-1)¶
Bases:
FixedVsFloatingSwap
Vanilla swap class
- Attributes:
error_estimate
Instrument.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_expired
Instrument.is_expired: bool
- maturity_date
net_present_value
Instrument net present value.
- nominal
- nominals
npv
Shortcut to the net_present_value property.
- spread
- start_date
- type
valuation_date
the 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)