QuantLib_OvernightIndexedCoupon man page

OvernightIndexedCoupon — overnight coupon  

Synopsis

#include <ql/cashflows/overnightindexedcoupon.hpp>

Inherits FloatingRateCoupon.

Public Member Functions

OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool telescopicValueDates=false)

Inspectors

const std::vector< Date > & fixingDates () const
fixing dates for the rates to be compounded
const std::vector< Time > & dt () const
accrual (compounding) periods
const std::vector< Rate > & indexFixings () const
fixings to be compounded
const std::vector< Date > & valueDates () const
value dates for the rates to be compounded

FloatingRateCoupon interface

Date fixingDate () const
the date when the coupon is fully determined

Visitability

void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

overnight coupon

Coupon paying the compounded interest due to daily overnight fixings.

Warning

telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages OvernightIndexedCoupon(3) and valueDates(3) are aliases of QuantLib_OvernightIndexedCoupon(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib