QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class building a sequence of overnight coupons More...
#include <overnightindexedcoupon.hpp>
Public Member Functions | |
OvernightLeg (Schedule schedule, ext::shared_ptr< OvernightIndex > overnightIndex) | |
OvernightLeg & | withNotionals (Real notional) |
OvernightLeg & | withNotionals (const std::vector< Real > ¬ionals) |
OvernightLeg & | withPaymentDayCounter (const DayCounter &) |
OvernightLeg & | withPaymentAdjustment (BusinessDayConvention) |
OvernightLeg & | withPaymentCalendar (const Calendar &) |
OvernightLeg & | withPaymentLag (Integer lag) |
OvernightLeg & | withGearings (Real gearing) |
OvernightLeg & | withGearings (const std::vector< Real > &gearings) |
OvernightLeg & | withSpreads (Spread spread) |
OvernightLeg & | withSpreads (const std::vector< Spread > &spreads) |
OvernightLeg & | withTelescopicValueDates (bool telescopicValueDates) |
OvernightLeg & | withAveragingMethod (RateAveraging::Type averagingMethod) |
operator Leg () const | |
Private Attributes | |
Schedule | schedule_ |
ext::shared_ptr< OvernightIndex > | overnightIndex_ |
std::vector< Real > | notionals_ |
DayCounter | paymentDayCounter_ |
Calendar | paymentCalendar_ |
BusinessDayConvention | paymentAdjustment_ = Following |
Integer | paymentLag_ = 0 |
std::vector< Real > | gearings_ |
std::vector< Spread > | spreads_ |
bool | telescopicValueDates_ = false |
RateAveraging::Type | averagingMethod_ = RateAveraging::Compound |
helper class building a sequence of overnight coupons
Definition at line 99 of file overnightindexedcoupon.hpp.
OvernightLeg | ( | Schedule | schedule, |
ext::shared_ptr< OvernightIndex > | overnightIndex | ||
) |
Definition at line 272 of file overnightindexedcoupon.cpp.
OvernightLeg & withNotionals | ( | Real | notional | ) |
Definition at line 277 of file overnightindexedcoupon.cpp.
OvernightLeg & withNotionals | ( | const std::vector< Real > & | notionals | ) |
Definition at line 282 of file overnightindexedcoupon.cpp.
OvernightLeg & withPaymentDayCounter | ( | const DayCounter & | dc | ) |
Definition at line 287 of file overnightindexedcoupon.cpp.
OvernightLeg & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
Definition at line 293 of file overnightindexedcoupon.cpp.
OvernightLeg & withPaymentCalendar | ( | const Calendar & | cal | ) |
Definition at line 298 of file overnightindexedcoupon.cpp.
OvernightLeg & withPaymentLag | ( | Integer | lag | ) |
Definition at line 303 of file overnightindexedcoupon.cpp.
OvernightLeg & withGearings | ( | Real | gearing | ) |
Definition at line 308 of file overnightindexedcoupon.cpp.
OvernightLeg & withGearings | ( | const std::vector< Real > & | gearings | ) |
Definition at line 313 of file overnightindexedcoupon.cpp.
OvernightLeg & withSpreads | ( | Spread | spread | ) |
Definition at line 318 of file overnightindexedcoupon.cpp.
OvernightLeg & withSpreads | ( | const std::vector< Spread > & | spreads | ) |
Definition at line 323 of file overnightindexedcoupon.cpp.
OvernightLeg & withTelescopicValueDates | ( | bool | telescopicValueDates | ) |
Definition at line 328 of file overnightindexedcoupon.cpp.
OvernightLeg & withAveragingMethod | ( | RateAveraging::Type | averagingMethod | ) |
Definition at line 333 of file overnightindexedcoupon.cpp.
operator Leg | ( | ) | const |
Definition at line 338 of file overnightindexedcoupon.cpp.
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Definition at line 116 of file overnightindexedcoupon.hpp.
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Definition at line 117 of file overnightindexedcoupon.hpp.
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Definition at line 118 of file overnightindexedcoupon.hpp.
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Definition at line 119 of file overnightindexedcoupon.hpp.
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Definition at line 120 of file overnightindexedcoupon.hpp.
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Definition at line 121 of file overnightindexedcoupon.hpp.
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Definition at line 122 of file overnightindexedcoupon.hpp.
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Definition at line 123 of file overnightindexedcoupon.hpp.
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Definition at line 124 of file overnightindexedcoupon.hpp.
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Definition at line 125 of file overnightindexedcoupon.hpp.
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Definition at line 126 of file overnightindexedcoupon.hpp.