26#ifndef quantlib_makeois_hpp
27#define quantlib_makeois_hpp
42 const ext::shared_ptr<OvernightIndex>& overnightIndex,
47 operator ext::shared_ptr<OvernightIndexedSwap>()
const ;
92 const ext::shared_ptr<PricingEngine>& engine);
Shared handle to an observable.
ext::shared_ptr< OvernightIndex > overnightIndex_
BusinessDayConvention paymentAdjustment_
BusinessDayConvention fixedConvention_
MakeOIS & withFixedLegRule(DateGeneration::Rule r)
bool telescopicValueDates_
MakeOIS & withPaymentAdjustment(BusinessDayConvention convention)
MakeOIS & withTerminationDateConvention(BusinessDayConvention bdc)
MakeOIS & withPaymentLag(Integer lag)
MakeOIS & withDiscountingTermStructure(const Handle< YieldTermStructure > &discountingTermStructure)
MakeOIS & withType(Swap::Type type)
MakeOIS & withSettlementDays(Natural settlementDays)
Calendar paymentCalendar_
DateGeneration::Rule overnightRule_
DayCounter fixedDayCount_
MakeOIS & receiveFixed(bool flag=true)
MakeOIS & withPaymentFrequency(Frequency f)
bool overnightEndOfMonth_
MakeOIS & withFixedLegDayCount(const DayCounter &dc)
MakeOIS & withRule(DateGeneration::Rule r)
MakeOIS & withCalendar(const Calendar &cal)
MakeOIS & withPricingEngine(const ext::shared_ptr< PricingEngine > &engine)
MakeOIS & withFixedLegEndOfMonth(bool flag=true)
MakeOIS & withOvernightLegRule(DateGeneration::Rule r)
MakeOIS & withFixedLegConvention(BusinessDayConvention bdc)
BusinessDayConvention overnightConvention_
Frequency fixedPaymentFrequency_
MakeOIS & withOvernightLegTerminationDateConvention(BusinessDayConvention bdc)
MakeOIS & withFixedLegTerminationDateConvention(BusinessDayConvention bdc)
Frequency overnightPaymentFrequency_
RateAveraging::Type averagingMethod_
BusinessDayConvention overnightTerminationDateConvention_
MakeOIS & withFixedLegCalendar(const Calendar &cal)
MakeOIS & withPaymentCalendar(const Calendar &cal)
DateGeneration::Rule fixedRule_
MakeOIS & withTerminationDate(const Date &)
MakeOIS & withEffectiveDate(const Date &)
MakeOIS & withOvernightLegSpread(Spread sp)
ext::shared_ptr< PricingEngine > engine_
Calendar overnightCalendar_
MakeOIS & withEndOfMonth(bool flag=true)
MakeOIS & withOvernightLegPaymentFrequency(Frequency f)
MakeOIS & withFixedLegPaymentFrequency(Frequency f)
BusinessDayConvention fixedTerminationDateConvention_
MakeOIS & withNominal(Real n)
MakeOIS & withAveragingMethod(RateAveraging::Type averagingMethod)
MakeOIS & withTelescopicValueDates(bool telescopicValueDates)
MakeOIS & withConvention(BusinessDayConvention bdc)
MakeOIS & withOvernightLegConvention(BusinessDayConvention bdc)
MakeOIS & withOvernightLegCalendar(const Calendar &cal)
MakeOIS & withOvernightLegEndOfMonth(bool flag=true)
template class providing a null value for a given type.
Overnight indexed swap: fix vs compounded overnight rate.
Frequency
Frequency of events.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
QL_INTEGER Integer
integer number
Real Spread
spreads on interest rates
Overnight index swap paying compounded overnight vs. fixed.
ext::shared_ptr< YieldTermStructure > r
Interest-rate term structure.