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

overnightIndex(3), OvernightIndexedSwap(3), overnightLeg(3), overnightLegBPS(3), overnightLegNPV(3) and paymentFrequency(3) are aliases of QuantLib_OvernightIndexedSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib