Arithemtic Average OIS: fix vs arithmetic average of overnight rate. More...

#include <arithmeticaverageois.hpp>

Inheritance diagram for ArithmeticAverageOIS:

Collaboration diagram for ArithmeticAverageOIS:

Public Member Functions
	ArithmeticAverageOIS (Type type, Real nominal, Schedule fixedLegSchedule, Rate fixedRate, DayCounter fixedDC, ext::shared_ptr< OvernightIndex > overnightIndex, Schedule overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)

	ArithmeticAverageOIS (Type type, std::vector< Real > nominals, Schedule fixedLegSchedule, Rate fixedRate, DayCounter fixedDC, ext::shared_ptr< OvernightIndex > overnightIndex, Schedule overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)

Inspectors
Type	type () const

Real	nominal () const

std::vector< Real >	nominals () const

Frequency	fixedLegPaymentFrequency ()

Frequency	overnightLegPaymentFrequency ()

Rate	fixedRate () const

const DayCounter &	fixedDayCount ()

const ext::shared_ptr< OvernightIndex > &	overnightIndex ()

Spread	spread () const

const Leg &	fixedLeg () const

const Leg &	overnightLeg () const

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
Type	type_

std::vector< Real >	nominals_

Frequency	fixedLegPaymentFrequency_

Frequency	overnightLegPaymentFrequency_

Rate	fixedRate_

DayCounter	fixedDC_

ext::shared_ptr< OvernightIndex >	overnightIndex_

Spread	spread_

bool	byApprox_

Real	mrs_

Real	vol_

Real	fixedLegBPS () const

Real	fixedLegNPV () const

Real	fairRate () const

Real	overnightLegBPS () const

Real	overnightLegNPV () const

Spread	fairSpread () const

void	initialize (Schedule fixedLegSchedule, Schedule overnightLegSchedule)

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

Arithemtic Average OIS: fix vs arithmetic average of overnight rate.

Definition at line 36 of file arithmeticaverageois.hpp.

Constructor & Destructor Documentation

◆ ArithmeticAverageOIS() [1/2]

ArithmeticAverageOIS	(	Type	type,
		Real	nominal,
		Schedule	fixedLegSchedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		ext::shared_ptr< OvernightIndex >	overnightIndex,
		Schedule	overnightLegSchedule,
		Spread	spread = `0.0`,
		Real	meanReversionSpeed = `0.03`,
		Real	volatility = `0.00`,
		bool	byApprox = `false`
	)

Definition at line 28 of file arithmeticaverageois.cpp.

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◆ ArithmeticAverageOIS() [2/2]

ArithmeticAverageOIS	(	Type	type,
		std::vector< Real >	nominals,
		Schedule	fixedLegSchedule,
		Rate	fixedRate,
		DayCounter	fixedDC,
		ext::shared_ptr< OvernightIndex >	overnightIndex,
		Schedule	overnightLegSchedule,
		Spread	spread = `0.0`,
		Real	meanReversionSpeed = `0.03`,
		Real	volatility = `0.00`,
		bool	byApprox = `false`
	)

Definition at line 49 of file arithmeticaverageois.cpp.

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Member Function Documentation

◆ type()

Type type ( ) const

Definition at line 62 of file arithmeticaverageois.hpp.

◆ nominal()

Real nominal ( ) const

Definition at line 113 of file arithmeticaverageois.hpp.

◆ nominals()

std::vector< Real > nominals ( ) const

Definition at line 64 of file arithmeticaverageois.hpp.

◆ fixedLegPaymentFrequency()

Frequency fixedLegPaymentFrequency ( )

Definition at line 67 of file arithmeticaverageois.hpp.

◆ overnightLegPaymentFrequency()

Frequency overnightLegPaymentFrequency ( )

Definition at line 68 of file arithmeticaverageois.hpp.

◆ fixedRate()

Rate fixedRate ( ) const

Definition at line 70 of file arithmeticaverageois.hpp.

◆ fixedDayCount()

const DayCounter & fixedDayCount ( )

Definition at line 71 of file arithmeticaverageois.hpp.

◆ overnightIndex()

const ext::shared_ptr< OvernightIndex > & overnightIndex ( )

Definition at line 73 of file arithmeticaverageois.hpp.

◆ spread()

Spread spread ( ) const

Definition at line 74 of file arithmeticaverageois.hpp.

◆ fixedLeg()

const Leg & fixedLeg ( ) const

Definition at line 76 of file arithmeticaverageois.hpp.

◆ overnightLeg()

const Leg & overnightLeg ( ) const

Definition at line 77 of file arithmeticaverageois.hpp.

◆ fixedLegBPS()

Real fixedLegBPS ( ) const

Definition at line 122 of file arithmeticaverageois.cpp.

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◆ fixedLegNPV()

Real fixedLegNPV ( ) const

Definition at line 134 of file arithmeticaverageois.cpp.

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◆ fairRate()

Real fairRate ( ) const

Definition at line 110 of file arithmeticaverageois.cpp.

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◆ overnightLegBPS()

Real overnightLegBPS ( ) const

Definition at line 128 of file arithmeticaverageois.cpp.

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◆ overnightLegNPV()

Real overnightLegNPV ( ) const

Definition at line 140 of file arithmeticaverageois.cpp.

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◆ fairSpread()

Spread fairSpread ( ) const

Definition at line 116 of file arithmeticaverageois.cpp.

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◆ initialize()

void initialize	(	Schedule	fixedLegSchedule,
		Schedule	overnightLegSchedule
	)

private

Definition at line 70 of file arithmeticaverageois.cpp.

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Member Data Documentation

◆ type_

Type type_

private

Definition at line 92 of file arithmeticaverageois.hpp.

◆ nominals_

std::vector<Real> nominals_

private

Definition at line 93 of file arithmeticaverageois.hpp.

◆ fixedLegPaymentFrequency_

Frequency fixedLegPaymentFrequency_

private

Definition at line 95 of file arithmeticaverageois.hpp.

◆ overnightLegPaymentFrequency_

Frequency overnightLegPaymentFrequency_

private

Definition at line 96 of file arithmeticaverageois.hpp.

◆ fixedRate_

Rate fixedRate_

private

Definition at line 99 of file arithmeticaverageois.hpp.

◆ fixedDC_

DayCounter fixedDC_

private

Definition at line 100 of file arithmeticaverageois.hpp.

◆ overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 102 of file arithmeticaverageois.hpp.

◆ spread_

Spread spread_

private

Definition at line 103 of file arithmeticaverageois.hpp.

◆ byApprox_

bool byApprox_

private

Definition at line 105 of file arithmeticaverageois.hpp.

◆ mrs_

Real mrs_

private

Definition at line 106 of file arithmeticaverageois.hpp.

◆ vol_

Real vol_

private

Definition at line 107 of file arithmeticaverageois.hpp.

Public Member Functions

Results

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ ArithmeticAverageOIS() [1/2]

◆ ArithmeticAverageOIS() [2/2]

Member Function Documentation

◆ type()

◆ nominal()

◆ nominals()

◆ fixedLegPaymentFrequency()

◆ overnightLegPaymentFrequency()

◆ fixedRate()

◆ fixedDayCount()

◆ overnightIndex()

◆ spread()

◆ fixedLeg()

◆ overnightLeg()

◆ fixedLegBPS()

◆ fixedLegNPV()

◆ fairRate()

◆ overnightLegBPS()

◆ overnightLegNPV()

◆ fairSpread()

◆ initialize()

Member Data Documentation

◆ type_

◆ nominals_

◆ fixedLegPaymentFrequency_

◆ overnightLegPaymentFrequency_

◆ fixedRate_

◆ fixedDC_

◆ overnightIndex_

◆ spread_

◆ byApprox_

◆ mrs_

◆ vol_