QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Types | Public Member Functions | List of all members
OvernightIndexedSwap Class Reference

Overnight indexed swap: fix vs compounded overnight rate. More...

#include <ql/instruments/overnightindexedswap.hpp>

+ Inheritance diagram for OvernightIndexedSwap:

Public Types

enum  Type { Receiver = -1, Payer = 1 }
 
- Public Types inherited from Observer
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< Realnominals () const
 
Frequency paymentFrequency ()
 
Rate fixedRate () const
 
const DayCounterfixedDayCount ()
 
const ext::shared_ptr< OvernightIndex > & overnightIndex ()
 
Spread spread () const
 
const LegfixedLeg () const
 
const LegovernightLeg () const
 
- Public Member Functions inherited from Swap
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 Legleg (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)
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename 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...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (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

- Protected Member Functions inherited from Swap
void setupExpired () const
 
 Swap (Size legs)
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Swap
std::vector< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
ext::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

Overnight indexed swap: fix vs compounded overnight rate.