Use fixed vs floater swap

pcaspers · Mar 22, 2024 · fffcb9f · fffcb9f
1 parent f97c6d9
commit fffcb9f
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Showing 2 changed files with 8 additions and 13 deletions.
diff --git a/ql/cashflows/lineartsrpricer.cpp b/ql/cashflows/lineartsrpricer.cpp
@@ -146,19 +146,14 @@ namespace QuantLib {
 
             swapTenor_ = swapIndex_->tenor();
 
-            Leg swapFixedLeg;
-            if(auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
-                onSwap_ = on->underlyingSwap(fixingDate_);
-                swapRateValue_ = onSwap_->fairRate();
-                annuity_ = 1.0E4 * std::fabs(onSwap_->fixedLegBPS());
-                swapFixedLeg = onSwap_->fixedLeg();
-            }
-            else {
+            if (auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
+                swap_ = on->underlyingSwap(fixingDate_);
+            } else {
                 swap_ = swapIndex_->underlyingSwap(fixingDate_);
-                swapRateValue_ = swap_->fairRate();
-                annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
-                swapFixedLeg = swap_->fixedLeg();
             }
+            swapRateValue_ = swap_->fairRate();
+            annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
+            Leg swapFixedLeg = swap_->fixedLeg();
 
             ext::shared_ptr<SmileSection> sectionTmp =
                 swaptionVolatility()->smileSection(fixingDate_, swapTenor_);

diff --git a/ql/cashflows/lineartsrpricer.hpp b/ql/cashflows/lineartsrpricer.hpp
@@ -28,6 +28,7 @@
 #include <ql/cashflows/couponpricer.hpp>
 #include <ql/instruments/payoffs.hpp>
 #include <ql/indexes/swapindex.hpp>
+#include <ql/instruments/fixedvsfloatingswap.hpp>
 #include <ql/math/integrals/integral.hpp>
 
 namespace QuantLib {
@@ -237,8 +238,7 @@ namespace QuantLib {
             annuity_;
 
         ext::shared_ptr<SwapIndex> swapIndex_;
-        ext::shared_ptr<VanillaSwap> swap_;
-        ext::shared_ptr<OvernightIndexedSwap> onSwap_;
+        ext::shared_ptr<FixedVsFloatingSwap> swap_;
         ext::shared_ptr<SmileSection> smileSection_;
 
         Settings settings_;