quantlib.instruments.zerocouponswap.

ZeroCouponSwap

class ZeroCouponSwap(Type type, Real nominal, Date start_date, Date maturity, Real fixed_payment, IborIndex ibor_index, Calendar payment_calendar, BusinessDayConvention payment_convention=Following, Natural payment_delay=0)

Bases: Swap

Attributes:

error_estimate

Real: error estimate on the NPV when available

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.

npv

A shortcut to the net_present_value property.

start_date

The start date of the swap.

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.