QuantLib_OvernightIndexedSwap man page

OvernightIndexedSwap — Overnight indexed swap: fix vs compounded overnight rate.  

Synopsis

#include <ql/instruments/overnightindexedswap.hpp>

Inherits Swap.

Public Types

enum Type { Receiver = -1, Payer = 1 }

Public Member Functions

OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0)
OvernightIndexedSwap (Type type, std::vector< Real > nominals, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0)

Inspectors

Type type () const
Real nominal () const
std::vector< Real > nominals () const
Frequency paymentFrequency ()
Rate fixedRate () const
const DayCounter & fixedDayCount ()
const boost::shared_ptr< OvernightIndex > & overnightIndex ()
Spread spread ()
const Leg & fixedLeg () const
const Leg & overnightLeg () const

Results

Real fixedLegBPS () const
Real fixedLegNPV () const
Real fairRate () const
Real overnightLegBPS () const
Real overnightLegNPV () const
Spread fairSpread () const

Additional Inherited Members

Detailed Description

Overnight indexed swap: fix vs compounded overnight rate.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

OvernightIndexedSwap(3) and paymentFrequency(3) are aliases of QuantLib_OvernightIndexedSwap(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib