QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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OvernightIndexedSwap Member List

This is the complete list of members for OvernightIndexedSwap, including all inherited members.

additionalResults() constInstrument
additionalResults_Instrumentmutableprotected
alwaysForward_LazyObjectprotected
alwaysForwardNotifications()LazyObject
averagingMethod() constOvernightIndexedSwap
averagingMethod_OvernightIndexedSwapprivate
calculate() const overrideInstrumentprotectedvirtual
calculated_LazyObjectmutableprotected
constantNominals_FixedVsFloatingSwapprivate
deepUpdate() overrideSwapvirtual
endDiscounts(Size j) constSwap
endDiscounts_Swapprotected
engine_Instrumentprotected
errorEstimate() constInstrument
errorEstimate_Instrumentprotected
fairRate() constFixedVsFloatingSwap
fairRate_FixedVsFloatingSwapmutableprivate
fairSpread() constFixedVsFloatingSwap
fairSpread_FixedVsFloatingSwapmutableprivate
fetchResults(const PricingEngine::results *) const overrideFixedVsFloatingSwapvirtual
fixedDayCount() constFixedVsFloatingSwap
fixedDayCount_FixedVsFloatingSwapprivate
fixedLeg() constFixedVsFloatingSwap
fixedLegBPS() constFixedVsFloatingSwap
fixedLegNPV() constFixedVsFloatingSwap
fixedNominals() constFixedVsFloatingSwap
fixedNominals_FixedVsFloatingSwapprivate
fixedRate() constFixedVsFloatingSwap
fixedRate_FixedVsFloatingSwapprivate
fixedSchedule() constFixedVsFloatingSwap
fixedSchedule_FixedVsFloatingSwapprivate
FixedVsFloatingSwap(Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, std::vector< Real > floatingNominals, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, Integer paymentLag=0, const Calendar &paymentCalendar=Calendar())FixedVsFloatingSwap
floatingDayCount() constFixedVsFloatingSwap
floatingDayCount_FixedVsFloatingSwapprivate
floatingLeg() constFixedVsFloatingSwap
floatingLegBPS() constFixedVsFloatingSwap
floatingLegNPV() constFixedVsFloatingSwap
floatingNominals() constFixedVsFloatingSwap
floatingNominals_FixedVsFloatingSwapprivate
floatingSchedule() constFixedVsFloatingSwap
floatingSchedule_FixedVsFloatingSwapprivate
forwardFirstNotificationOnly()LazyObject
freeze()LazyObject
frozen_LazyObjectprotected
iborIndex() constFixedVsFloatingSwap
iborIndex_FixedVsFloatingSwapprivate
Instrument()Instrument
isCalculated() constLazyObject
isExpired() const overrideSwapvirtual
QuantLib::iterator typedefObservableprivate
QuantLib::Observer::iterator typedefObserver
LazyObject()LazyObject
leg(Size j) constSwap
legBPS(Size j) constSwap
legBPS_Swapmutableprotected
legNPV(Size j) constSwap
legNPV_Swapmutableprotected
legs() constSwap
legs_Swapprotected
maturityDate() constSwapvirtual
nominal() constFixedVsFloatingSwap
nominals() constFixedVsFloatingSwap
notifyObservers()Observable
NPV() constInstrument
NPV_Instrumentmutableprotected
npvDateDiscount() constSwap
npvDateDiscount_Swapmutableprotected
numberOfLegs() constSwap
Observable()Observable
Observable(const Observable &)Observable
Observable(Observable &&)=deleteObservable
observables_Observerprivate
Observer()=defaultObserver
QuantLib::Observer::Observer(const Observer &)Observer
observers_Observableprivate
QuantLib::operator=(const Observable &)Observable
QuantLib::operator=(Observable &&)=deleteObservable
QuantLib::Observer::operator=(const Observer &)Observer
overnightIndex() constOvernightIndexedSwap
overnightIndex_OvernightIndexedSwapprivate
OvernightIndexedSwap(Type type, Real nominal, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)OvernightIndexedSwap
OvernightIndexedSwap(Type type, const std::vector< Real > &nominals, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)OvernightIndexedSwap
OvernightIndexedSwap(Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)OvernightIndexedSwap
OvernightIndexedSwap(Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, const std::vector< Real > &overnightNominals, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound)OvernightIndexedSwap
overnightLeg() constOvernightIndexedSwap
overnightLegBPS() constOvernightIndexedSwap
overnightLegNPV() constOvernightIndexedSwap
overnightNominals() constOvernightIndexedSwap
overnightSchedule() constOvernightIndexedSwap
Payer enum valueSwap
payer(Size j) constSwap
payer_Swapprotected
paymentConvention() constFixedVsFloatingSwap
paymentConvention_FixedVsFloatingSwapprivate
paymentFrequency() constOvernightIndexedSwap
performCalculations() const overrideInstrumentprotectedvirtual
recalculate()LazyObject
Receiver enum valueSwap
registerObserver(Observer *)Observableprivate
registerWith(const ext::shared_ptr< Observable > &)Observer
registerWithObservables(const ext::shared_ptr< Observer > &)Observer
result(const std::string &tag) constInstrument
sameNominals_FixedVsFloatingSwapprivate
QuantLib::set_type typedefObservableprivate
setPricingEngine(const ext::shared_ptr< PricingEngine > &)Instrument
setupArguments(PricingEngine::arguments *args) const overrideFixedVsFloatingSwapvirtual
setupExpired() const overrideFixedVsFloatingSwapprivatevirtual
setupFloatingArguments(arguments *args) const overrideOvernightIndexedSwapprivatevirtual
spread() constFixedVsFloatingSwap
spread_FixedVsFloatingSwapprivate
startDate() constSwapvirtual
startDiscounts(Size j) constSwap
startDiscounts_Swapmutableprotected
Swap(const Leg &firstLeg, const Leg &secondLeg)Swap
Swap(const std::vector< Leg > &legs, const std::vector< bool > &payer)Swap
Swap(Size legs)Swapprotected
Type enum nameSwap
type() constFixedVsFloatingSwap
type_FixedVsFloatingSwapprivate
unfreeze()LazyObject
unregisterObserver(Observer *)Observableprivate
unregisterWith(const ext::shared_ptr< Observable > &)Observer
unregisterWithAll()Observer
update() overrideLazyObjectvirtual
updating_LazyObjectprivate
valuationDate() constInstrument
valuationDate_Instrumentmutableprotected
~LazyObject() override=defaultLazyObject
~Observable()=defaultObservablevirtual
~Observer()Observervirtual
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