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)