26#ifndef quantlib_makeois_hpp
27#define quantlib_makeois_hpp
29#include <ql/instruments/overnightindexedswap.hpp>
30#include <ql/time/dategenerationrule.hpp>
31#include <ql/termstructures/yieldtermstructure.hpp>
42 const ext::shared_ptr<OvernightIndex>& overnightIndex,
47 operator ext::shared_ptr<OvernightIndexedSwap>()
const ;
77 const ext::shared_ptr<PricingEngine>& engine);
Shared handle to an observable.
ext::shared_ptr< OvernightIndex > overnightIndex_
BusinessDayConvention paymentAdjustment_
bool telescopicValueDates_
MakeOIS & withPaymentAdjustment(BusinessDayConvention convention)
MakeOIS & withDiscountingTermStructure(const Handle< YieldTermStructure > &discountingTermStructure)
MakeOIS & withType(Swap::Type type)
MakeOIS & withSettlementDays(Natural settlementDays)
Calendar paymentCalendar_
DayCounter fixedDayCount_
MakeOIS & receiveFixed(bool flag=true)
MakeOIS & withPaymentFrequency(Frequency f)
MakeOIS & withFixedLegDayCount(const DayCounter &dc)
MakeOIS & withRule(DateGeneration::Rule r)
MakeOIS & withPaymentLag(Natural lag)
MakeOIS & withPricingEngine(const ext::shared_ptr< PricingEngine > &engine)
DateGeneration::Rule rule_
RateAveraging::Type averagingMethod_
MakeOIS & withPaymentCalendar(const Calendar &cal)
MakeOIS & withTerminationDate(const Date &)
MakeOIS & withEffectiveDate(const Date &)
MakeOIS & withOvernightLegSpread(Spread sp)
ext::shared_ptr< PricingEngine > engine_
MakeOIS & withEndOfMonth(bool flag=true)
MakeOIS & withNominal(Real n)
MakeOIS & withAveragingMethod(RateAveraging::Type averagingMethod)
MakeOIS & withTelescopicValueDates(bool telescopicValueDates)
Frequency paymentFrequency_
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
Real Spread
spreads on interest rates