Struct Swap 

pub struct Swap { /* private fields */ }

Base swap instrument.

Holds N Legs and a per-leg multiplier (-1 paid, +1 received). A derived swap builds its legs and constructs the base whole through Swap::new; two_leg is the receiver/payer convenience for the common two-leg case.

Implementations

impl Swap

pub fn new( legs: Vec<Leg>, payer: Vec<bool>, settings: Shared<Settings<Date>>, ) -> QlResult<Swap>

Builds a multi-leg swap from its legs and their payer flags (the C++ multi-leg constructor, swap.cpp:46).

A true flag marks a paid leg, stored as the multiplier -1; a false flag a received leg, stored as +1. The swap registers with the settings evaluation date and with every flow of every leg.

Errors

The number of payer flags must match the number of legs.

pub fn two_leg( first_leg: Leg, second_leg: Leg, settings: Shared<Settings<Date>>, ) -> Swap

Builds a two-leg swap whose first leg is paid and second received (the C++ two-leg constructor, swap.cpp:30).

pub fn number_of_legs(&self) -> usize

The number of legs.

pub fn legs(&self) -> &[Leg]

All the swap’s legs.

pub fn leg(&self, j: usize) -> QlResult<&Leg>

The j-th leg.

Errors

The index must be within range.

pub fn payer(&self, j: usize) -> QlResult<bool>

Whether the j-th leg is paid.

Errors

The index must be within range.

pub fn start_date(&self) -> QlResult<Date>

The earliest start date over the legs.

Errors

The swap must have at least one leg, each non-empty.

pub fn maturity_date(&self) -> QlResult<Date>

The latest maturity date over the legs.

Errors

The swap must have at least one leg, each non-empty.

pub fn leg_npv(&mut self, j: usize) -> QlResult<Real>

The j-th leg’s NPV.

Errors

The index must be within range and the engine must have provided the value.

pub fn leg_bps(&mut self, j: usize) -> QlResult<Real>

The j-th leg’s BPS.

Errors

The index must be within range and the engine must have provided the value.

pub fn start_discounts(&mut self, j: usize) -> QlResult<DiscountFactor>

The discount factor at the j-th leg’s start date.

Errors

The index must be within range and the engine must have provided the value.

pub fn end_discounts(&mut self, j: usize) -> QlResult<DiscountFactor>

The discount factor at the j-th leg’s end date.

Errors

The index must be within range and the engine must have provided the value.

pub fn npv_date_discount(&mut self) -> QlResult<DiscountFactor>

The discount factor at the NPV date.

Errors

The engine must have provided the value.

pub fn deep_update(&mut self)

Invalidates the cached results and notifies observers (the C++ Swap::deepUpdate).

C++ additionally walks each leg’s flows calling deepUpdate on them, to refresh coupons whose pricer caches; the crate’s cash-flow surface exposes no such hook yet, so the leg walk reduces to the update step until one lands.

Trait Implementations

impl Instrument for Swap

fn base(&self) -> &InstrumentBase

The embedded base state.

fn base_mut(&mut self) -> &mut InstrumentBase

Mutable access to the embedded base state.

fn is_expired(&self) -> QlResult<bool>

Whether the instrument might have value greater than zero.

fn setup_arguments(&self, arguments: &mut dyn Arguments) -> QlResult<()>

Fills the engine’s argument bundle ahead of a calculation; mandatory when a pricing engine is used.

fn setup_expired(&mut self)

Leaves the instrument in a consistent state when the expiration condition is met (setupExpired): zero value, cleared extras.

fn fetch_results(&mut self, results: &dyn Results) -> QlResult<()>

Reads a calculation’s outputs back from the engine’s result bundle.

fn perform_calculations(&mut self) -> QlResult<()>

Runs the engine protocol (performCalculations): reset, fill and validate the arguments, calculate, fetch the results. Override only when pricing without an engine.

fn calculate(&mut self) -> QlResult<()>

Recomputes the results if the cache is stale, short-circuiting expired instruments (Instrument::calculate).

fn recalculate(&mut self) -> QlResult<()>

Forces a recalculation and notifies observers even on failure (LazyObject::recalculate, inherited by every C++ instrument; goes through the virtual calculate, so expired instruments short-circuit).

fn npv(&mut self) -> QlResult<Real>

The net present value of the instrument (NPV()).

fn error_estimate(&mut self) -> QlResult<Real>

The error estimate on the NPV, when available (errorEstimate()).

fn valuation_date(&mut self) -> QlResult<Date>

The date the net present value refers to (valuationDate()).

fn result<T: Any + Clone>(&mut self, tag: &str) -> QlResult<T>

where Self: Sized,

An additional named result returned by the engine (result<T>(tag)).

fn additional_results(&mut self) -> QlResult<&BTreeMap<String, Shared<dyn Any>>>

All additional results returned by the engine (additionalResults()).