MakeArithmeticAverageOIS Class Reference

helper class More...

#include <ql/experimental/averageois/makearithmeticaverageois.hpp>

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Public Member Functions
	MakeArithmeticAverageOIS (const Period &swapTenor, const ext::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days)
	operator ArithmeticAverageOIS () const
	operator ext::shared_ptr< ArithmeticAverageOIS > () const
MakeArithmeticAverageOIS &	receiveFixed (bool flag=true)
MakeArithmeticAverageOIS &	withType (Swap::Type type)
MakeArithmeticAverageOIS &	withNominal (Real n)
MakeArithmeticAverageOIS &	withSettlementDays (Natural settlementDays)
MakeArithmeticAverageOIS &	withEffectiveDate (const Date &)
MakeArithmeticAverageOIS &	withTerminationDate (const Date &)
MakeArithmeticAverageOIS &	withRule (DateGeneration::Rule r)
MakeArithmeticAverageOIS &	withFixedLegPaymentFrequency (Frequency f)
MakeArithmeticAverageOIS &	withOvernightLegPaymentFrequency (Frequency f)
MakeArithmeticAverageOIS &	withEndOfMonth (bool flag=true)
MakeArithmeticAverageOIS &	withFixedLegDayCount (const DayCounter &dc)
MakeArithmeticAverageOIS &	withOvernightLegSpread (Spread sp)
MakeArithmeticAverageOIS &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
MakeArithmeticAverageOIS &	withPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
MakeArithmeticAverageOIS &	withArithmeticAverage (Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)

Private Attributes
Period	swapTenor_
ext::shared_ptr< OvernightIndex >	overnightIndex_
Rate	fixedRate_
Period	forwardStart_
Natural	settlementDays_ = 2
Date	effectiveDate_
Date	terminationDate_
Calendar	calendar_
Frequency	fixedLegPaymentFrequency_ = Annual
Frequency	overnightLegPaymentFrequency_ = Annual
DateGeneration::Rule	rule_ = DateGeneration::Backward
bool	endOfMonth_
bool	isDefaultEOM_ = true
bool	byApprox_ = false
Real	mrs_ = 0.03
Real	vol_ = 0.00
Swap::Type	type_ = Swap::Payer
Real	nominal_ = 1.0
Spread	overnightSpread_ = 0.0
DayCounter	fixedDayCount_
ext::shared_ptr< PricingEngine >	engine_

Detailed Description

helper class

This class provides a more comfortable way to instantiate arithemtic average overnight indexed swaps.

Definition at line 37 of file makearithmeticaverageois.hpp.

Constructor & Destructor Documentation

MakeArithmeticAverageOIS()

MakeArithmeticAverageOIS	(	const Period &	swapTenor,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Rate	fixedRate = Null<Rate>(),
		const Period &	fwdStart = 0*Days
	)

Definition at line 27 of file makearithmeticaverageois.cpp.

Member Function Documentation

operator ArithmeticAverageOIS()

operator ArithmeticAverageOIS

(

)

const

Definition at line 39 of file makearithmeticaverageois.cpp.

operator ext::shared_ptr< ArithmeticAverageOIS >()

operator ext::shared_ptr< ArithmeticAverageOIS >

(

)

const

Definition at line 44 of file makearithmeticaverageois.cpp.

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receiveFixed()

MakeArithmeticAverageOIS & receiveFixed

(

bool

flag = true

)

Definition at line 142 of file makearithmeticaverageois.cpp.

withType()

MakeArithmeticAverageOIS & withType

(

Swap::Type

type

)

Definition at line 147 of file makearithmeticaverageois.cpp.

withNominal()

MakeArithmeticAverageOIS & withNominal

(

Real

n

)

Definition at line 152 of file makearithmeticaverageois.cpp.

withSettlementDays()

MakeArithmeticAverageOIS & withSettlementDays

(

Natural

settlementDays

)

Definition at line 157 of file makearithmeticaverageois.cpp.

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withEffectiveDate()

MakeArithmeticAverageOIS & withEffectiveDate

(

const Date &

effectiveDate

)

Definition at line 163 of file makearithmeticaverageois.cpp.

withTerminationDate()

MakeArithmeticAverageOIS & withTerminationDate

(

const Date &

terminationDate

)

Definition at line 168 of file makearithmeticaverageois.cpp.

withRule()

MakeArithmeticAverageOIS & withRule

(

DateGeneration::Rule

r

)

Definition at line 188 of file makearithmeticaverageois.cpp.

withFixedLegPaymentFrequency()

MakeArithmeticAverageOIS & withFixedLegPaymentFrequency

(

Frequency

f

)

Definition at line 174 of file makearithmeticaverageois.cpp.

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withOvernightLegPaymentFrequency()

MakeArithmeticAverageOIS & withOvernightLegPaymentFrequency

(

Frequency

f

)

Definition at line 181 of file makearithmeticaverageois.cpp.

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withEndOfMonth()

MakeArithmeticAverageOIS & withEndOfMonth

(

bool

flag = true

)

Definition at line 216 of file makearithmeticaverageois.cpp.

withFixedLegDayCount()

MakeArithmeticAverageOIS & withFixedLegDayCount

(

const DayCounter &

dc

)

Definition at line 211 of file makearithmeticaverageois.cpp.

withOvernightLegSpread()

MakeArithmeticAverageOIS & withOvernightLegSpread

(

Spread

sp

)

Definition at line 222 of file makearithmeticaverageois.cpp.

withDiscountingTermStructure()

MakeArithmeticAverageOIS & withDiscountingTermStructure

(

const Handle< YieldTermStructure > &

discountingTermStructure

)

Definition at line 197 of file makearithmeticaverageois.cpp.

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withPricingEngine()

MakeArithmeticAverageOIS & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 205 of file makearithmeticaverageois.cpp.

withArithmeticAverage()

MakeArithmeticAverageOIS & withArithmeticAverage	(	Real	meanReversionSpeed = 0.03,
		Real	volatility = 0.00,
		bool	byApprox = false
	)

Definition at line 227 of file makearithmeticaverageois.cpp.

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Member Data Documentation

swapTenor_

Period swapTenor_

private

Definition at line 73 of file makearithmeticaverageois.hpp.

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 74 of file makearithmeticaverageois.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 75 of file makearithmeticaverageois.hpp.

forwardStart_

Period forwardStart_

private

Definition at line 76 of file makearithmeticaverageois.hpp.

settlementDays_

Natural settlementDays_ = 2

private

Definition at line 78 of file makearithmeticaverageois.hpp.

effectiveDate_

Date effectiveDate_

private

Definition at line 79 of file makearithmeticaverageois.hpp.

terminationDate_

Date terminationDate_

private

Definition at line 79 of file makearithmeticaverageois.hpp.

calendar_

Calendar calendar_

private

Definition at line 80 of file makearithmeticaverageois.hpp.

fixedLegPaymentFrequency_

Frequency fixedLegPaymentFrequency_ = Annual

private

Definition at line 82 of file makearithmeticaverageois.hpp.

overnightLegPaymentFrequency_

Frequency overnightLegPaymentFrequency_ = Annual

private

Definition at line 83 of file makearithmeticaverageois.hpp.

rule_

DateGeneration::Rule rule_ = DateGeneration::Backward

private

Definition at line 84 of file makearithmeticaverageois.hpp.

endOfMonth_

bool endOfMonth_

private

Definition at line 85 of file makearithmeticaverageois.hpp.

isDefaultEOM_

bool isDefaultEOM_ = true

private

Definition at line 85 of file makearithmeticaverageois.hpp.

byApprox_

bool byApprox_ = false

private

Definition at line 87 of file makearithmeticaverageois.hpp.

mrs_

Real mrs_ = 0.03

private

Definition at line 88 of file makearithmeticaverageois.hpp.

vol_

Real vol_ = 0.00

private

Definition at line 89 of file makearithmeticaverageois.hpp.

type_

Swap::Type type_ = Swap::Payer

private

Definition at line 91 of file makearithmeticaverageois.hpp.

nominal_

Real nominal_ = 1.0

private

Definition at line 92 of file makearithmeticaverageois.hpp.

overnightSpread_

Spread overnightSpread_ = 0.0

private

Definition at line 94 of file makearithmeticaverageois.hpp.

fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 95 of file makearithmeticaverageois.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 97 of file makearithmeticaverageois.hpp.