VanillaSwap.cpp

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#include ".\VanillaSwap.h"

VanillaSwap::VanillaSwap(CashFlow cashflowReceived1, CashFlow cashflowPaid2, char* name1, char* name2, yieldCurve* curve)
:       _leg1(cashflowReceived1),
        _leg2(cashflowPaid2),
        _curve(curve)
{
        _name1=new char[MAX_LETTERS];
        _name2=new char[MAX_LETTERS];
        for (ShortNatural i=0;i<MAX_LETTERS;i++) {
                _name1[i]=name1[i];
                _name2[i]=name2[i];
        }
}

VanillaSwap::~VanillaSwap(void)
{
}

Real VanillaSwap::getFairValue1() {
        return _leg1.getFairValue(_curve);
}

Real VanillaSwap::getFairValue2() {
        return _leg2.getFairValue(_curve);
}

Real VanillaSwap::returnPrice() {
        Real result=0.;
        result=getFairValue1()-getFairValue2();
        return result;
}

Real VanillaSwap::getRho() {
        Real result=returnPrice();
        _curve->shiftZCBRateCurve();
        result=returnPrice()-result;
        _curve->shiftZCBRateCurve(-defaultshiftfactorForShortRate);
        return result;
}

Real VanillaSwap::getTheta() {
        Real result=returnPrice();
        yieldCurve curve=*_curve;
        _curve->forwardZCBCurve(1./365);
        result=returnPrice()-result;
        _curve=&curve;
        return result;
}

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