QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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helper class More...
#include <makearithmeticaverageois.hpp>
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_ |
helper class
This class provides a more comfortable way to instantiate arithemtic average overnight indexed swaps.
Definition at line 37 of file makearithmeticaverageois.hpp.
MakeArithmeticAverageOIS | ( | const Period & | swapTenor, |
const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
Rate | fixedRate = Null<Rate>() , |
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const Period & | fwdStart = 0*Days |
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Definition at line 27 of file makearithmeticaverageois.cpp.
operator ArithmeticAverageOIS | ( | ) | const |
Definition at line 39 of file makearithmeticaverageois.cpp.
operator ext::shared_ptr< ArithmeticAverageOIS > | ( | ) | const |
Definition at line 44 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & receiveFixed | ( | bool | flag = true | ) |
Definition at line 142 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withType | ( | Swap::Type | type | ) |
Definition at line 147 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withNominal | ( | Real | n | ) |
Definition at line 152 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withSettlementDays | ( | Natural | settlementDays | ) |
Definition at line 157 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withEffectiveDate | ( | const Date & | effectiveDate | ) |
Definition at line 163 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withTerminationDate | ( | const Date & | terminationDate | ) |
Definition at line 168 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withRule | ( | DateGeneration::Rule | r | ) |
Definition at line 188 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withFixedLegPaymentFrequency | ( | Frequency | f | ) |
Definition at line 174 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withOvernightLegPaymentFrequency | ( | Frequency | f | ) |
Definition at line 181 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withEndOfMonth | ( | bool | flag = true | ) |
Definition at line 216 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withFixedLegDayCount | ( | const DayCounter & | dc | ) |
Definition at line 211 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withOvernightLegSpread | ( | Spread | sp | ) |
Definition at line 222 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withDiscountingTermStructure | ( | const Handle< YieldTermStructure > & | discountingTermStructure | ) |
Definition at line 197 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withPricingEngine | ( | const ext::shared_ptr< PricingEngine > & | engine | ) |
Definition at line 205 of file makearithmeticaverageois.cpp.
MakeArithmeticAverageOIS & withArithmeticAverage | ( | Real | meanReversionSpeed = 0.03 , |
Real | volatility = 0.00 , |
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bool | byApprox = false |
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) |
Definition at line 227 of file makearithmeticaverageois.cpp.
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Definition at line 73 of file makearithmeticaverageois.hpp.
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Definition at line 74 of file makearithmeticaverageois.hpp.
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Definition at line 75 of file makearithmeticaverageois.hpp.
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Definition at line 76 of file makearithmeticaverageois.hpp.
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Definition at line 78 of file makearithmeticaverageois.hpp.
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Definition at line 79 of file makearithmeticaverageois.hpp.
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Definition at line 79 of file makearithmeticaverageois.hpp.
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Definition at line 80 of file makearithmeticaverageois.hpp.
Definition at line 82 of file makearithmeticaverageois.hpp.
Definition at line 83 of file makearithmeticaverageois.hpp.
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Definition at line 84 of file makearithmeticaverageois.hpp.
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Definition at line 85 of file makearithmeticaverageois.hpp.
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Definition at line 85 of file makearithmeticaverageois.hpp.
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Definition at line 87 of file makearithmeticaverageois.hpp.
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Definition at line 88 of file makearithmeticaverageois.hpp.
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Definition at line 89 of file makearithmeticaverageois.hpp.
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Definition at line 91 of file makearithmeticaverageois.hpp.
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Definition at line 92 of file makearithmeticaverageois.hpp.
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Definition at line 94 of file makearithmeticaverageois.hpp.
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Definition at line 95 of file makearithmeticaverageois.hpp.
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Definition at line 97 of file makearithmeticaverageois.hpp.