InterestRateSwap

A vanilla fixed-versus-floating interest-rate swap on the simulated short-rate curve. At a grid date t the outstanding fixed leg is valued from analytic P(t, T_j) bonds and the floating leg is taken at par from the next reset, so

receiveFixedValue(t) = notional * ( fixedRate * annuity(t) - (P(t, reset) - P(t, end)) )

and the payer swap is its negative. Only cash flows strictly after t are counted, so the value amortises to zero and the netting-set exposure has the usual mid-life hump.

View source ↗Full module reference on javadoc.io ↗

Record components

id: String
side: Side
notional: double
fixedRate: double
startYears: double
maturityYears: double
accrualYears: double

Methods

static InterestRateSwap payer(String id, double notional, double fixedRate, double maturityYears)

static InterestRateSwap receiver(String id, double notional, double fixedRate, double maturityYears)

String toString()

double grossNotional()

double effectiveMaturityYears()

ADouble markToMarket(Path path, double t)