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fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
OvernightLeg Class Reference

helper class building a sequence of overnight coupons More...

#include <overnightindexedcoupon.hpp>

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Public Member Functions

 OvernightLeg (Schedule schedule, ext::shared_ptr< OvernightIndex > overnightIndex)
 
OvernightLegwithNotionals (Real notional)
 
OvernightLegwithNotionals (const std::vector< Real > &notionals)
 
OvernightLegwithPaymentDayCounter (const DayCounter &)
 
OvernightLegwithPaymentAdjustment (BusinessDayConvention)
 
OvernightLegwithPaymentCalendar (const Calendar &)
 
OvernightLegwithPaymentLag (Integer lag)
 
OvernightLegwithGearings (Real gearing)
 
OvernightLegwithGearings (const std::vector< Real > &gearings)
 
OvernightLegwithSpreads (Spread spread)
 
OvernightLegwithSpreads (const std::vector< Spread > &spreads)
 
OvernightLegwithTelescopicValueDates (bool telescopicValueDates)
 
OvernightLegwithAveragingMethod (RateAveraging::Type averagingMethod)
 
 operator Leg () const
 

Private Attributes

Schedule schedule_
 
ext::shared_ptr< OvernightIndexovernightIndex_
 
std::vector< Realnotionals_
 
DayCounter paymentDayCounter_
 
Calendar paymentCalendar_
 
BusinessDayConvention paymentAdjustment_ = Following
 
Integer paymentLag_ = 0
 
std::vector< Realgearings_
 
std::vector< Spreadspreads_
 
bool telescopicValueDates_ = false
 
RateAveraging::Type averagingMethod_ = RateAveraging::Compound
 

Detailed Description

helper class building a sequence of overnight coupons

Definition at line 99 of file overnightindexedcoupon.hpp.

Constructor & Destructor Documentation

◆ OvernightLeg()

OvernightLeg ( Schedule  schedule,
ext::shared_ptr< OvernightIndex overnightIndex 
)

Definition at line 272 of file overnightindexedcoupon.cpp.

Member Function Documentation

◆ withNotionals() [1/2]

OvernightLeg & withNotionals ( Real  notional)

Definition at line 277 of file overnightindexedcoupon.cpp.

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◆ withNotionals() [2/2]

OvernightLeg & withNotionals ( const std::vector< Real > &  notionals)

Definition at line 282 of file overnightindexedcoupon.cpp.

◆ withPaymentDayCounter()

OvernightLeg & withPaymentDayCounter ( const DayCounter dc)

Definition at line 287 of file overnightindexedcoupon.cpp.

◆ withPaymentAdjustment()

OvernightLeg & withPaymentAdjustment ( BusinessDayConvention  convention)

Definition at line 293 of file overnightindexedcoupon.cpp.

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◆ withPaymentCalendar()

OvernightLeg & withPaymentCalendar ( const Calendar cal)

Definition at line 298 of file overnightindexedcoupon.cpp.

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◆ withPaymentLag()

OvernightLeg & withPaymentLag ( Integer  lag)

Definition at line 303 of file overnightindexedcoupon.cpp.

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◆ withGearings() [1/2]

OvernightLeg & withGearings ( Real  gearing)

Definition at line 308 of file overnightindexedcoupon.cpp.

◆ withGearings() [2/2]

OvernightLeg & withGearings ( const std::vector< Real > &  gearings)

Definition at line 313 of file overnightindexedcoupon.cpp.

◆ withSpreads() [1/2]

OvernightLeg & withSpreads ( Spread  spread)

Definition at line 318 of file overnightindexedcoupon.cpp.

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◆ withSpreads() [2/2]

OvernightLeg & withSpreads ( const std::vector< Spread > &  spreads)

Definition at line 323 of file overnightindexedcoupon.cpp.

◆ withTelescopicValueDates()

OvernightLeg & withTelescopicValueDates ( bool  telescopicValueDates)

Definition at line 328 of file overnightindexedcoupon.cpp.

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◆ withAveragingMethod()

OvernightLeg & withAveragingMethod ( RateAveraging::Type  averagingMethod)

Definition at line 333 of file overnightindexedcoupon.cpp.

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◆ operator Leg()

operator Leg ( ) const

Definition at line 338 of file overnightindexedcoupon.cpp.

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Member Data Documentation

◆ schedule_

Schedule schedule_
private

Definition at line 116 of file overnightindexedcoupon.hpp.

◆ overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_
private

Definition at line 117 of file overnightindexedcoupon.hpp.

◆ notionals_

std::vector<Real> notionals_
private

Definition at line 118 of file overnightindexedcoupon.hpp.

◆ paymentDayCounter_

DayCounter paymentDayCounter_
private

Definition at line 119 of file overnightindexedcoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_
private

Definition at line 120 of file overnightindexedcoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following
private

Definition at line 121 of file overnightindexedcoupon.hpp.

◆ paymentLag_

Integer paymentLag_ = 0
private

Definition at line 122 of file overnightindexedcoupon.hpp.

◆ gearings_

std::vector<Real> gearings_
private

Definition at line 123 of file overnightindexedcoupon.hpp.

◆ spreads_

std::vector<Spread> spreads_
private

Definition at line 124 of file overnightindexedcoupon.hpp.

◆ telescopicValueDates_

bool telescopicValueDates_ = false
private

Definition at line 125 of file overnightindexedcoupon.hpp.

◆ averagingMethod_

RateAveraging::Type averagingMethod_ = RateAveraging::Compound
private

Definition at line 126 of file overnightindexedcoupon.hpp.