OvernightIndexedSwap Class Reference

Overnight indexed swap: fix vs compounded overnight rate. More...

#include <overnightindexedswap.hpp>

Inheritance diagram for OvernightIndexedSwap:

Collaboration diagram for OvernightIndexedSwap:

Public Member Functions
	OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)
	OvernightIndexedSwap (Type type, const std::vector< Real > &nominals, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)
	OvernightIndexedSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)
	OvernightIndexedSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, const std::vector< Real > &overnightNominals, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)
Inspectors
Frequency	paymentFrequency () const
const std::vector< Real > &	overnightNominals () const
const Schedule &	overnightSchedule () const
const ext::shared_ptr< OvernightIndex > &	overnightIndex () const
const Leg &	overnightLeg () const
RateAveraging::Type	averagingMethod () const
Public Member Functions inherited from FixedVsFloatingSwap
	FixedVsFloatingSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, std::vector< Real > floatingNominals, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, Integer paymentLag=0, const Calendar &paymentCalendar=Calendar())
Type	type () const
Real	nominal () const
const std::vector< Real > &	nominals () const
const std::vector< Real > &	fixedNominals () const
const Schedule &	fixedSchedule () const
Rate	fixedRate () const
const DayCounter &	fixedDayCount () const
const std::vector< Real > &	floatingNominals () const
const Schedule &	floatingSchedule () const
const ext::shared_ptr< IborIndex > &	iborIndex () const
Spread	spread () const
const DayCounter &	floatingDayCount () const
BusinessDayConvention	paymentConvention () const
const Leg &	fixedLeg () const
const Leg &	floatingLeg () const
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Rate	fairRate () const
Real	floatingLegBPS () const
Real	floatingLegNPV () const
Spread	fairSpread () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
bool	payer (Size j) const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
Public Member Functions inherited from Instrument
	Instrument ()
Real	NPV () const
	returns the net present value of the instrument. More...
Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...
const Date &	valuationDate () const
	returns the date the net present value refers to. More...
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Results
ext::shared_ptr< OvernightIndex >	overnightIndex_
RateAveraging::Type	averagingMethod_
Real	overnightLegBPS () const
Real	overnightLegNPV () const
void	setupFloatingArguments (arguments *args) const override

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from Swap
void	setupExpired () const override
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Swap
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Real >	legNPV_
std::vector< Real >	legBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Overnight indexed swap: fix vs compounded overnight rate.

Definition at line 42 of file overnightindexedswap.hpp.

Constructor & Destructor Documentation

OvernightIndexedSwap() [1/4]

OvernightIndexedSwap	(	Type	type,
		Real	nominal,
		const Schedule &	schedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Spread	spread = 0.0,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentAdjustment = Following,
		const Calendar &	paymentCalendar = Calendar(),
		bool	telescopicValueDates = false,
		RateAveraging::Type	averagingMethod = RateAveraging::Compound
	)

Definition at line 30 of file overnightindexedswap.cpp.

OvernightIndexedSwap() [2/4]

OvernightIndexedSwap	(	Type	type,
		const std::vector< Real > &	nominals,
		const Schedule &	schedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Spread	spread = 0.0,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentAdjustment = Following,
		const Calendar &	paymentCalendar = Calendar(),
		bool	telescopicValueDates = false,
		RateAveraging::Type	averagingMethod = RateAveraging::Compound
	)

Definition at line 55 of file overnightindexedswap.cpp.

OvernightIndexedSwap() [3/4]

OvernightIndexedSwap	(	Type	type,
		Real	nominal,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		Schedule	overnightSchedule,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Spread	spread = 0.0,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentAdjustment = Following,
		const Calendar &	paymentCalendar = Calendar(),
		bool	telescopicValueDates = false,
		RateAveraging::Type	averagingMethod = RateAveraging::Compound
	)

Definition at line 82 of file overnightindexedswap.cpp.

OvernightIndexedSwap() [4/4]

OvernightIndexedSwap	(	Type	type,
		std::vector< Real >	fixedNominals,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		const std::vector< Real > &	overnightNominals,
		Schedule	overnightSchedule,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Spread	spread = 0.0,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentAdjustment = Following,
		const Calendar &	paymentCalendar = Calendar(),
		bool	telescopicValueDates = false,
		RateAveraging::Type	averagingMethod = RateAveraging::Compound
	)

Definition at line 110 of file overnightindexedswap.cpp.

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Member Function Documentation

paymentFrequency()

Frequency paymentFrequency

(

)

const

Definition at line 101 of file overnightindexedswap.hpp.

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overnightNominals()

const std::vector< Real > & overnightNominals

(

)

const

Definition at line 106 of file overnightindexedswap.hpp.

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overnightSchedule()

const Schedule & overnightSchedule

(

)

const

Definition at line 107 of file overnightindexedswap.hpp.

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overnightIndex()

const ext::shared_ptr< OvernightIndex > & overnightIndex

(

)

const

Definition at line 108 of file overnightindexedswap.hpp.

overnightLeg()

const Leg & overnightLeg

(

)

const

Definition at line 109 of file overnightindexedswap.hpp.

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averagingMethod()

RateAveraging::Type averagingMethod

(

)

const

Definition at line 111 of file overnightindexedswap.hpp.

overnightLegBPS()

Real overnightLegBPS

(

)

const

Definition at line 116 of file overnightindexedswap.hpp.

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overnightLegNPV()

Real overnightLegNPV

(

)

const

Definition at line 117 of file overnightindexedswap.hpp.

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setupFloatingArguments()

void setupFloatingArguments ( arguments *  args ) const

overrideprivatevirtual

Implements FixedVsFloatingSwap.

Definition at line 143 of file overnightindexedswap.cpp.

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Member Data Documentation

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 122 of file overnightindexedswap.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_

private

Definition at line 123 of file overnightindexedswap.hpp.