An Instrument; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A FixedVsFloatingSwap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

An Instrument; see the hierarchy under GenInstrument.

A Swap; see the hierarchy under GenInstrument.

A ConstNotionalCrossCurrencySwap; see the hierarchy under GenInstrument.

A ConstNotionalCrossCurrencySwap; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Option; see the hierarchy under GenInstrument.

An Instrument; see the hierarchy under GenInstrument.

Upstream's own defaults: index fixing days, no lockout, no observation shift.

Multi leg constructor.

The cash flows belonging to the first leg are paid; the ones belonging to the second leg are received.

Swap paying Libor against BMA coupons

Fixed-rate vs floating-rate (Ibor) swap; if no payment convention is given, the floating leg's is used.

Converts an existing FixedVsFloatingSwap (e.g. a VanillaSwap) into a NonstandardSwap (upstream's own conversion constructor, NonstandardSwap(const FixedVsFloatingSwap&)).

VanillaSwap generalized to per-period fixed/floating nominals and fixed rates, plus optional intermediate/final notional exchange -- a single Double gearing/spread shared across all floating periods. See nonstandardSwapFromGearingsAndSpreads for per-period gearing/spread.

As nonstandardSwap, but with a per-period gearing and spread instead of one shared value.

Swap exchanging capped/floored Libor or CMS coupons with a single flat nominal on each leg. FloatFloatSwapOpts bundles every trailing param the C++ constructor defaults (gearing/ spread/cap/floor per leg, capital exchange, payment conventions); override only what's needed via record-update syntax on defaultFloatFloatSwapOpts. See floatFloatSwapFromNominals for the per-period-nominal overload.

As floatFloatSwap, but with per-period nominals on each leg. FloatFloatSwapVaryingOpts also supplies the per-period gearings, spreads, caps, and floors for both legs.

Haskell equivalent of QuantLib's fluent MakeVanillaSwap builder -- a single function with Maybe-wrapped optional parameters instead of chained .with* calls, covering the subset of makevanillaswap.hpp's fields named in the parameters below. Not covered at all (no parameter): explicit effective/termination date overrides, a settlement calendar distinct from the floating-leg one, floating-leg tenor/convention/ termination convention/day count overrides (always taken from the index, matching upstream's own defaults), withRule variants (always DateGeneration::Backward), end-of-month/first-date/next-to-last-date overrides, a floating-leg spread other than 0, a discounting term structure or custom pricing engine (use setPricingEngine on the result instead), indexed/at-par coupon overrides, and payment convention (always the floating leg's, matching upstream's own default when unset). fixedLegTenor/fixedLegDayCount are required arguments here rather than optional with upstream's currency-based inference. A Nothing settlementDays behaves as Just 0, rather than replicating upstream's index-valueDate-based spot-date convention.

Haskell equivalent of QuantLib's fluent MakeCms builder, in the style of makeVanillaSwap above -- not a binding of the MakeCms C++ class at all, but a plain function composing already-bound primitives (schedule, cmsLeg, iborLeg, swapFromLegs). The result is a plain Swap (a CMS swap has no calc/getter of its own beyond generic Swap's), with no FloatingRateCouponPricer attached -- attach one to the CMS leg afterwards via setCouponPricer =<< leg result 0 (swapFromLegs is used instead of swap precisely so the CMS leg is always leg 0, regardless of SwapType) and setCouponPricer before pricing.

Unlike MakeCms, cmsLegTenor/cmsLegDayCount are required arguments here rather than defaulted (upstream hardcodes 3 Months/Actual360); pass those literals to reproduce MakeCms's own defaults. Not covered at all (no parameter): an explicit effective date override, CMS-leg/floating-leg termination-date-convention/rule/end-of-month/ first-date/next-to-last-date overrides (always ModifiedFollowing/Backward/False/ unset, matching MakeCms's own defaults for the CMS leg), CMS coupon gearing/caps/floors (use cmsLegWithOptions and swap directly for those), an ATM-spread lookup, a discounting term structure or custom pricing engine (use setPricingEngine on the result instead). A Nothing settlementDays behaves as Just 0, rather than replicating upstream's index-valueDate-based spot-date convention (matching makeVanillaSwap's own choice here).

A zero-coupon inflation-indexed swap (ZCIIS): a single fixed-vs-CPI-ratio exchange at maturity. Per-leg NPV/BPS use the generic leg/legNpv/legBps (leg 0 = fixed, leg 1 = inflation).

A year-on-year inflation-indexed swap: fixed leg vs a YoY-inflation-linked leg. Per-leg NPV/BPS use the generic leg/legNpv/legBps (leg 0 = fixed, leg 1 = YoY).

A fixed-x-CPI-ratio leg (subtracting the inflation notional if subtractInflationNominal) vs a float+spread leg -- QuantLib's general-purpose inflation swap, also usable to replicate a single-cashflow ZCIIS (see zeroCouponInflationSwap). Per-leg NPV/BPS use the generic leg/legNpv/legBps (leg 0 = CPI, leg 1 = float).

Zero-coupon swap quoted in terms of a known fixed cash flow. "payer"/"receiver" refer to the fixed leg. Per-leg NPV uses the generic leg/legNpv (leg 0 = fixed, leg 1 = floating).

Zero-coupon swap quoted in terms of a fixed rate.

Exchanges the total return of an EquityIndex for a set of floating cash flows linked to an IborIndex. type (payer/receiver) refers to the equity leg.

As equityTotalReturnSwapIbor, but with the floating leg linked to an overnight index instead -- fixings are compounded over the accrual period.

Variance swap: pays off the difference between realized and strike variance, scaled by notional. This class does not manage seasoned variance swaps.

Variance option: an option on realized variance, priced (e.g. via integralHestonVarianceOptionEngine) against a payoff on the variance level rather than the underlying price. This class does not manage seasoned variance options.

Constructs a cross-currency swap from two legs and their currencies; the first leg is paid, the second received.

Multi-leg constructor.

Cross-currency basis swap: pay-currency cashflows on leg 0, receive-currency on leg 1. ConstNotionalCrossCurrencyBasisSwapOpts bundles every trailing param the C++ constructor defaults (all OIS-only -- payment lag, compound-spread, lookback, observation shift, lockout, averaging method per leg, plus a shared telescopic-value-dates flag; ignored for a plain Ibor payIndex/recIndex, since upstream itself only consults them when the index is an overnight index); override only what's needed via record-update syntax on defaultConstNotionalCrossCurrencyBasisSwapOpts.

Cross-currency fixed-vs-floating swap: Payer pays the fixed leg (leg 0) and receives the floating leg (leg 1); Receiver the reverse. Every trailing defaulted param of the upstream constructor is a required argument here (only 4 trailing defaults, under the options-record threshold -- see ConstNotionalCrossCurrencyBasisSwapOpts above) -- pass False/False/ defaultOvernightObservation/AveragingCompound to reproduce upstream's own defaults; the OIS-only ones are ignored for a plain Ibor floatIndex.

Upstream declares the three observation parameters as floatLookbackDays, floatObservationShift, floatLockoutDays, inverting the order every other overnight-leg producer uses; OvernightObservation hides that.

Fixed vs compounded-overnight-rate swap, with a single flat nominal for both legs.

As overnightIndexedSwap, but with a per-period nominal schedule instead of a single flat nominal.

Bullet bond vs Libor swap (par or market asset swap, per parAssetSwap).

An option on a VanillaSwap.

A priceable option on an IrregularSwap. Use haganIrregularSwaptionEngine as its pricing engine; QuantLib has no corresponding stock IrregularSwap engine.

Converts an existing Swaption into a NonstandardSwaption (upstream's own conversion constructor).

An option on a NonstandardSwap.

An option on a FloatFloatSwap.

Options that hold the swap they are written on. CdsOption is constructed in QuantLib.Instrument.Credit; import this module as well to reach its underlying swap.

implied volatility

Discount factor at leg j's end date.

The j-th leg's cash flows.

How many legs this swap has; leg indexes run from 0 to one less than this.

Basis-point sensitivity of leg j.

NPV of leg j.

The swap's maturity date, or Nothing if the swap has no legs.

Discount factor at the instrument's NPV date.

The swap's start date, or Nothing if the swap has no legs.

Discount factor at leg j's start date.

Per-period fixed rate, one entry per fixed-leg accrual period. For a swap built via nonstandardSwap/nonstandardSwapFromGearingsAndSpreads, this simply echoes the constructor's fixedRate; for one built via nonstandardSwapFromVanilla it is derived from the underlying vanilla swap's fixed leg coupons.

Leg j's currency.

Basis-point sensitivity of leg j, expressed in the leg's own currency (contrast legBps, in the swap's NPV currency).

NPV of leg j, expressed in the leg's own currency (contrast legNpv, in the swap's NPV currency).

Discount factor at the instrument's NPV date, for leg j.

The pay-leg spread that would make the swap's NPV zero.

The receive-leg spread that would make the swap's NPV zero.

The BMA leg's cash flows.

Basis-point sensitivity of the BMA leg.

NPV of the BMA leg.

The Libor fraction that would make the swap's NPV zero.

The Libor spread that would make the swap's NPV zero.

The fraction of the Libor rate paid on the Libor leg.

The Libor leg's cash flows.

Basis-point sensitivity of the Libor leg.

NPV of the Libor leg.

Auto-generates a basket of plain Swaptions used to calibrate a model to price a NonstandardSwaption -- either ATM swaptions adapted to the exercise dates (Naive) or swaptions whose maturity/strike/nominal match the underlying's NPV, delta and gamma at each exercise date (MaturityStrikeByDeltaGamma).

As calibrationBasket, for a FloatFloatSwaption.

The underlying bond's cash flows.

The bond's clean price, as passed to the constructor.

The clean price that would make the swap's NPV zero.

The non-par repayment that would make the swap's NPV zero.

The non-par repayment, as passed to the constructor.

Whether this is a par asset swap.

Whether the bond coupon is paid (rather than netted against the floating leg).

The spread on leg 1 that would make the swap's NPV zero.

The spread on leg 2 that would make the swap's NPV zero.

The fixed payment that would make the swap's NPV zero.

The fixed rate, under the given day counter, that would make the swap's NPV zero.

NPV of the equity total-return leg.

NPV of the interest-rate leg.

The margin that would make the swap's NPV zero.

Realized variance -- requires a pricing engine to be set first

The overnight leg's cash flows.

Basis-point sensitivity of the overnight leg.

NPV of the overnight leg.