Overnight indexed swap: fix vs compounded overnight rate. More...
#include <ql/instruments/overnightindexedswap.hpp>
Public Types | |
enum | Type { Receiver = -1, Payer = 1 } |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Natural paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false) | |
OvernightIndexedSwap (Type type, const std::vector< Real > &nominals, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Natural paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false) | |
Inspectors | |
Type | type () const |
Real | nominal () const |
std::vector< Real > | nominals () const |
Frequency | paymentFrequency () |
Rate | fixedRate () const |
const DayCounter & | fixedDayCount () |
const ext::shared_ptr< OvernightIndex > & | overnightIndex () |
Spread | spread () const |
const Leg & | fixedLeg () const |
const Leg & | overnightLeg () const |
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void | deepUpdate () |
Date | startDate () const |
Date | maturityDate () const |
Real | legBPS (Size j) const |
Real | legNPV (Size j) const |
DiscountFactor | startDiscounts (Size j) const |
DiscountFactor | endDiscounts (Size j) const |
DiscountFactor | npvDateDiscount () const |
const Leg & | leg (Size j) const |
bool | payer (Size j) const |
bool | isExpired () const |
returns whether the instrument might have value greater than zero. | |
void | setupArguments (PricingEngine::arguments *) const |
void | fetchResults (const PricingEngine::results *) const |
Swap (const Leg &firstLeg, const Leg &secondLeg) | |
Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
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Real | NPV () const |
returns the net present value of the instrument. | |
Real | errorEstimate () const |
returns the error estimate on the NPV when available. | |
const Date & | valuationDate () const |
returns the date the net present value refers to. | |
template<typename T > | |
T | result (const std::string &tag) const |
returns any additional result returned by the pricing engine. | |
const std::map< std::string, boost::any > & | additionalResults () const |
returns all additional result returned by the pricing engine. | |
void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
set the pricing engine to be used. More... | |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
Results | |
Real | fixedLegBPS () const |
Real | fixedLegNPV () const |
Real | fairRate () const |
Real | overnightLegBPS () const |
Real | overnightLegNPV () const |
Spread | fairSpread () const |
Additional Inherited Members | |
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void | setupExpired () const |
Swap (Size legs) | |
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void | calculate () const |
virtual void | performCalculations () const |
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std::vector< Leg > | legs_ |
std::vector< Real > | payer_ |
std::vector< Real > | legNPV_ |
std::vector< Real > | legBPS_ |
std::vector< DiscountFactor > | startDiscounts_ |
std::vector< DiscountFactor > | endDiscounts_ |
DiscountFactor | npvDateDiscount_ |
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Real | NPV_ |
Real | errorEstimate_ |
Date | valuationDate_ |
std::map< std::string, boost::any > | additionalResults_ |
ext::shared_ptr< PricingEngine > | engine_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
Overnight indexed swap: fix vs compounded overnight rate.