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<title>OvernightIndexedSwap Class Reference</title>
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<a href="#pub-types">Public Types</a> |
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<div class="title">OvernightIndexedSwap Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::OvernightIndexedSwap" --><!-- doxytag: inherits="QuantLib::Swap" -->
<p>Overnight indexed swap: fix vs compounded overnight rate.
<a href="class_quant_lib_1_1_overnight_indexed_swap.html#details">More...</a></p>
<p><code>#include <ql/instruments/overnightindexedswap.hpp></code></p>
<div class="dynheader">
Inheritance diagram for OvernightIndexedSwap:</div>
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<div class="center"><img src="class_quant_lib_1_1_overnight_indexed_swap__inherit__graph.png" border="0" usemap="#_overnight_indexed_swap_inherit__map" alt="Inheritance graph"/></div>
<map name="_overnight_indexed_swap_inherit__map" id="_overnight_indexed_swap_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="56,6,109,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_overnight_indexed_swap-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><b>Type</b> { <b>Receiver</b> = -1,
<b>Payer</b> = 1
}</td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a89407c6282554fca99c92abfe5be0966"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::OvernightIndexedSwap" ref="a89407c6282554fca99c92abfe5be0966" args="(Type type, Real nominal, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0)" -->
 </td><td class="memItemRight" valign="bottom"><b>OvernightIndexedSwap</b> (Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nominal, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &schedule, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> fixedRate, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread=0.0)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1741a0edce85689f3a0597a0fe0c7515"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::OvernightIndexedSwap" ref="a1741a0edce85689f3a0597a0fe0c7515" args="(Type type, std::vector< Real > nominals, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0)" -->
 </td><td class="memItemRight" valign="bottom"><b>OvernightIndexedSwap</b> (Type type, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > nominals, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &schedule, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> fixedRate, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread=0.0)</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="afbd0fa31db28593e9669c3c56711c0a7"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::type" ref="afbd0fa31db28593e9669c3c56711c0a7" args="() const " -->
Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0c27f57255d093f0a9c42fb53e991e7d"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::nominal" ref="a0c27f57255d093f0a9c42fb53e991e7d" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nominal</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8f80a768e3cf3e15b9080476e9fcb3ab"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::nominals" ref="a8f80a768e3cf3e15b9080476e9fcb3ab" args="() const " -->
std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>nominals</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a865ebb01241a362567e63527db98dab2"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::paymentFrequency" ref="a865ebb01241a362567e63527db98dab2" args="()" -->
<a class="el" href="group__datetime.html#ga6d41db8ba0ea90d22df35889df452ada">Frequency</a> </td><td class="memItemRight" valign="bottom"><b>paymentFrequency</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a21ca699ff10159146df2e2673c1cc118"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fixedRate" ref="a21ca699ff10159146df2e2673c1cc118" args="() const " -->
<a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fixedRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a683c95096eea61b1a1ed14d32288150d"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fixedDayCount" ref="a683c95096eea61b1a1ed14d32288150d" args="()" -->
const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>fixedDayCount</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adba9c35966b6b177d2f6d73bf6ce9cee"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::overnightIndex" ref="adba9c35966b6b177d2f6d73bf6ce9cee" args="()" -->
const boost::shared_ptr<br class="typebreak"/>
< OvernightIndex > & </td><td class="memItemRight" valign="bottom"><b>overnightIndex</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab2974165ca4841b20224e8d276227ce9"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::spread" ref="ab2974165ca4841b20224e8d276227ce9" args="()" -->
<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>spread</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a720acf11b744a6529b383940d01117a6"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fixedLeg" ref="a720acf11b744a6529b383940d01117a6" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>fixedLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="adf0b47fac1d94d9b87c77881eb85fbf6"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::overnightLeg" ref="adf0b47fac1d94d9b87c77881eb85fbf6" args="() const " -->
const Leg & </td><td class="memItemRight" valign="bottom"><b>overnightLeg</b> () const </td></tr>
<tr><td colspan="2"><div class="groupHeader">Results</div></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8299475d045050eb89682c7fa25ca208"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fixedLegBPS" ref="a8299475d045050eb89682c7fa25ca208" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegBPS</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a36e1152928660bd46ffdcdfde8a70e6d"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fixedLegNPV" ref="a36e1152928660bd46ffdcdfde8a70e6d" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a66129d40442a389121feb6e330d54f79"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fairRate" ref="a66129d40442a389121feb6e330d54f79" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fairRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a266e13c778bc92a9789393871659b6bd"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::overnightLegBPS" ref="a266e13c778bc92a9789393871659b6bd" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>overnightLegBPS</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a981564829c746af02c1b945c603ee618"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::overnightLegNPV" ref="a981564829c746af02c1b945c603ee618" args="() const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>overnightLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9fed7d028c05630c089b2ae653dd94a7"></a><!-- doxytag: member="QuantLib::OvernightIndexedSwap::fairSpread" ref="a9fed7d028c05630c089b2ae653dd94a7" args="() const " -->
<a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>fairSpread</b> () const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Overnight indexed swap: fix vs compounded overnight rate. </p>
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