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

Plain-vanilla swap: fix vs ibor leg.

Parameters:

typeType

The swap type, either Payer or Receiver.

nominalfloat

The swap nominal.

fixed_scheduleSchedule

The schedule for the fixed leg.

fixed_ratefloat

The fixed rate.

fixed_daycountDayCounter

The day counter for the fixed leg.

float_scheduleSchedule

The schedule for the floating leg.

ibor_indexIborIndex

The IBOR index for the floating leg.

spreadfloat

The spread over the IBOR index.

floating_daycountDayCounter

The day counter for the floating leg.

payment_conventionint, optional

The business day convention for payment dates.

Attributes:

error_estimate

Real: error estimate on the NPV when available

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

bool: whether the instrument might have value greater than zero.

maturity_date

The maturity date of the swap.

net_present_value

The net present value of the instrument.

nominal

nominals

npv

A shortcut to the net_present_value property.

spread

start_date

The start date of the swap.

type

valuation_date

Date: the date the net present value refers to.

Methods

endDiscounts(self, Size j)	The discount factor at the end of the j-th leg of the swap.
leg(self, Size i)	The i-th leg of the swap.
leg_BPS(self, Size j)	The basis-point sensitivity of the j-th leg of the swap.
leg_NPV(self, Size j)	The net present value of the j-th leg of the swap.
npv_date_discount(self)	The discount factor at the NPV date.
set_pricing_engine(self, PricingEngine engine)	Sets the pricing engine to be used.
startDiscounts(self, Size j)	The discount factor at the start of the j-th leg of the swap.