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

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)

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)

Attributes

Payer

Receiver

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

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