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Public Member Functions | List of all members
OvernightIndexedCoupon Class Reference

overnight coupon More...

#include <overnightindexedcoupon.hpp>

+ Inheritance diagram for OvernightIndexedCoupon:
+ Collaboration diagram for OvernightIndexedCoupon:

Public Member Functions

 OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)
 
Inspectors
const std::vector< Date > & fixingDates () const
 fixing dates for the rates to be compounded More...
 
const std::vector< Time > & dt () const
 accrual (compounding) periods More...
 
const std::vector< Rate > & indexFixings () const
 fixings to be compounded More...
 
const std::vector< Date > & valueDates () const
 value dates for the rates to be compounded More...
 
const RateAveraging::Type averagingMethod () const
 averaging method More...
 
FloatingRateCoupon interface
Date fixingDate () const override
 the date when the coupon is fully determined More...
 
Real accruedAmount (const Date &) const override
 accrued amount at the given date More...
 
- Public Member Functions inherited from FloatingRateCoupon
 FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
 
void performCalculations () const override
 
Real amount () const override
 returns the amount of the cash flow More...
 
Rate rate () const override
 accrued rate More...
 
Real price (const Handle< YieldTermStructure > &discountingCurve) const
 
DayCounter dayCounter () const override
 day counter for accrual calculation More...
 
const ext::shared_ptr< InterestRateIndex > & index () const
 floating index More...
 
Natural fixingDays () const
 fixing days More...
 
Real gearing () const
 index gearing, i.e. multiplicative coefficient for the index More...
 
Spread spread () const
 spread paid over the fixing of the underlying index More...
 
virtual Rate indexFixing () const
 fixing of the underlying index More...
 
virtual Rate convexityAdjustment () const
 convexity adjustment More...
 
virtual Rate adjustedFixing () const
 convexity-adjusted fixing More...
 
bool isInArrears () const
 whether or not the coupon fixes in arrears More...
 
virtual void setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &)
 
ext::shared_ptr< FloatingRateCouponPricerpricer () const
 
- Public Member Functions inherited from Coupon
 Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
Date date () const override
 
Date exCouponDate () const override
 returns the date that the cash flow trades exCoupon More...
 
virtual Real nominal () const
 
const DateaccrualStartDate () const
 start of the accrual period More...
 
const DateaccrualEndDate () const
 end of the accrual period More...
 
const DatereferencePeriodStart () const
 start date of the reference period More...
 
const DatereferencePeriodEnd () const
 end date of the reference period More...
 
Time accrualPeriod () const
 accrual period as fraction of year More...
 
Date::serial_type accrualDays () const
 accrual period in days More...
 
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date More...
 
Date::serial_type accruedDays (const Date &) const
 accrued days at the given date More...
 
- Public Member Functions inherited from CashFlow
 ~CashFlow () override=default
 
bool hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
 returns true if an event has already occurred before a date More...
 
bool tradingExCoupon (const Date &refDate=Date()) const
 returns true if the cashflow is trading ex-coupon on the refDate More...
 
- Public Member Functions inherited from Event
 ~Event () override=default
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- 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 Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ()
 

Visitability

std::vector< DatevalueDates_
 
std::vector< DatefixingDates_
 
std::vector< Ratefixings_
 
Size n_
 
std::vector< Timedt_
 
RateAveraging::Type averagingMethod_
 
void accept (AcyclicVisitor &) override
 
Rate averageRate (const Date &date) const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from FloatingRateCoupon
Rate convexityAdjustmentImpl (Rate fixing) const
 convexity adjustment for the given index fixing More...
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from FloatingRateCoupon
ext::shared_ptr< InterestRateIndexindex_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
Real gearing_
 
Spread spread_
 
bool isInArrears_
 
ext::shared_ptr< FloatingRateCouponPricerpricer_
 
Real rate_
 
- Protected Attributes inherited from Coupon
Date paymentDate_
 
Real nominal_
 
Date accrualStartDate_
 
Date accrualEndDate_
 
Date refPeriodStart_
 
Date refPeriodEnd_
 
Date exCouponDate_
 
Real accrualPeriod_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

overnight coupon

Coupon paying the interest, depending on the averaging convention, due to daily overnight fixings.

Warning:
telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.

Definition at line 49 of file overnightindexedcoupon.hpp.

Constructor & Destructor Documentation

◆ OvernightIndexedCoupon()

OvernightIndexedCoupon ( const Date paymentDate,
Real  nominal,
const Date startDate,
const Date endDate,
const ext::shared_ptr< OvernightIndex > &  overnightIndex,
Real  gearing = 1.0,
Spread  spread = 0.0,
const Date refPeriodStart = Date(),
const Date refPeriodEnd = Date(),
const DayCounter dayCounter = DayCounter(),
bool  telescopicValueDates = false,
RateAveraging::Type  averagingMethod = RateAveraging::Compound 
)

Definition at line 138 of file overnightindexedcoupon.cpp.

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Member Function Documentation

◆ fixingDates()

const std::vector< Date > & fixingDates ( ) const

fixing dates for the rates to be compounded

Definition at line 67 of file overnightindexedcoupon.hpp.

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◆ dt()

const std::vector< Time > & dt ( ) const

accrual (compounding) periods

Definition at line 69 of file overnightindexedcoupon.hpp.

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◆ indexFixings()

const vector< Rate > & indexFixings ( ) const

fixings to be compounded

Definition at line 256 of file overnightindexedcoupon.cpp.

◆ valueDates()

const std::vector< Date > & valueDates ( ) const

value dates for the rates to be compounded

Definition at line 73 of file overnightindexedcoupon.hpp.

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◆ averagingMethod()

const RateAveraging::Type averagingMethod ( ) const

averaging method

Definition at line 75 of file overnightindexedcoupon.hpp.

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◆ fixingDate()

Date fixingDate ( ) const
overridevirtual

the date when the coupon is fully determined

Reimplemented from FloatingRateCoupon.

Definition at line 80 of file overnightindexedcoupon.hpp.

◆ accruedAmount()

Real accruedAmount ( const Date ) const
overridevirtual

accrued amount at the given date

Reimplemented from FloatingRateCoupon.

Definition at line 234 of file overnightindexedcoupon.cpp.

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◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from FloatingRateCoupon.

Definition at line 263 of file overnightindexedcoupon.cpp.

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◆ averageRate()

Rate averageRate ( const Date date) const
private

Definition at line 246 of file overnightindexedcoupon.cpp.

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Member Data Documentation

◆ valueDates_

std::vector<Date> valueDates_
private

Definition at line 88 of file overnightindexedcoupon.hpp.

◆ fixingDates_

std::vector<Date> fixingDates_
private

Definition at line 88 of file overnightindexedcoupon.hpp.

◆ fixings_

std::vector<Rate> fixings_
mutableprivate

Definition at line 89 of file overnightindexedcoupon.hpp.

◆ n_

Size n_
private

Definition at line 90 of file overnightindexedcoupon.hpp.

◆ dt_

std::vector<Time> dt_
private

Definition at line 91 of file overnightindexedcoupon.hpp.

◆ averagingMethod_

RateAveraging::Type averagingMethod_
private

Definition at line 92 of file overnightindexedcoupon.hpp.