QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <overnightindexfuture.hpp>
Public Member Functions | |
OvernightIndexFuture (ext::shared_ptr< OvernightIndex > overnightIndex, const Date &valueDate, const Date &maturityDate, Handle< Quote > convexityAdjustment=Handle< Quote >(), RateAveraging::Type averagingMethod=RateAveraging::Compound) | |
Real | convexityAdjustment () const |
bool | isExpired () const override |
returns whether the instrument might have value greater than zero. More... | |
const ext::shared_ptr< OvernightIndex > & | overnightIndex () const |
Date | valueDate () const |
Date | maturityDate () const |
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... | |
virtual void | setupArguments (PricingEngine::arguments *) const |
virtual void | fetchResults (const PricingEngine::results *) const |
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 () |
Private Member Functions | |
void | performCalculations () const override |
Real | rate () const |
Real | averagedRate () const |
Real | compoundedRate () const |
Private Attributes | |
ext::shared_ptr< OvernightIndex > | overnightIndex_ |
Date | valueDate_ |
Date | maturityDate_ |
Handle< Quote > | convexityAdjustment_ |
RateAveraging::Type | averagingMethod_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from Instrument | |
void | calculate () const override |
virtual void | setupExpired () const |
Protected Member Functions inherited from LazyObject | |
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_ |
Future on a compounded overnight index investment.
Compatible with SOFR futures and Sonia futures available on CME and ICE exchanges.
Definition at line 39 of file overnightindexfuture.hpp.
OvernightIndexFuture | ( | ext::shared_ptr< OvernightIndex > | overnightIndex, |
const Date & | valueDate, | ||
const Date & | maturityDate, | ||
Handle< Quote > | convexityAdjustment = Handle<Quote>() , |
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RateAveraging::Type | averagingMethod = RateAveraging::Compound |
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Real convexityAdjustment | ( | ) | const |
Definition at line 117 of file overnightindexfuture.cpp.
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overridevirtual |
returns whether the instrument might have value greater than zero.
Implements Instrument.
Definition at line 113 of file overnightindexfuture.cpp.
const ext::shared_ptr< OvernightIndex > & overnightIndex | ( | ) | const |
Definition at line 50 of file overnightindexfuture.hpp.
Date valueDate | ( | ) | const |
Definition at line 51 of file overnightindexfuture.hpp.
Date maturityDate | ( | ) | const |
Definition at line 52 of file overnightindexfuture.hpp.
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overrideprivatevirtual |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
Definition at line 121 of file overnightindexfuture.cpp.
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private |
Definition at line 100 of file overnightindexfuture.cpp.
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private |
Definition at line 40 of file overnightindexfuture.cpp.
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private |
Definition at line 66 of file overnightindexfuture.cpp.
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private |
Definition at line 58 of file overnightindexfuture.hpp.
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private |
Definition at line 59 of file overnightindexfuture.hpp.
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private |
Definition at line 59 of file overnightindexfuture.hpp.
Definition at line 60 of file overnightindexfuture.hpp.
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private |
Definition at line 61 of file overnightindexfuture.hpp.