QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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helper class More...
#include <ql/instruments/makeois.hpp>
Private Attributes | |
Period | swapTenor_ |
ext::shared_ptr< OvernightIndex > | overnightIndex_ |
Rate | fixedRate_ |
Period | forwardStart_ |
Natural | settlementDays_ = 2 |
Date | effectiveDate_ |
Date | terminationDate_ |
Calendar | calendar_ |
Frequency | paymentFrequency_ = Annual |
Calendar | paymentCalendar_ |
BusinessDayConvention | paymentAdjustment_ = Following |
Natural | paymentLag_ = 0 |
DateGeneration::Rule | rule_ = DateGeneration::Backward |
bool | endOfMonth_ = false |
bool | isDefaultEOM_ = true |
Swap::Type | type_ = Swap::Payer |
Real | nominal_ = 1.0 |
Spread | overnightSpread_ = 0.0 |
DayCounter | fixedDayCount_ |
ext::shared_ptr< PricingEngine > | engine_ |
bool | telescopicValueDates_ = false |
RateAveraging::Type | averagingMethod_ = RateAveraging::Compound |
helper class
This class provides a more comfortable way to instantiate overnight indexed swaps.
Definition at line 39 of file makeois.hpp.
MakeOIS | ( | 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 30 of file makeois.cpp.
operator OvernightIndexedSwap | ( | ) | const |
Definition at line 41 of file makeois.cpp.
operator ext::shared_ptr< OvernightIndexedSwap > | ( | ) | const |
Definition at line 135 of file makeois.cpp.
MakeOIS & withType | ( | Swap::Type | type | ) |
Definition at line 140 of file makeois.cpp.
Definition at line 145 of file makeois.cpp.
MakeOIS & withRule | ( | DateGeneration::Rule | r | ) |
Definition at line 189 of file makeois.cpp.
MakeOIS & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
MakeOIS & withFixedLegDayCount | ( | const DayCounter & | dc | ) |
MakeOIS & withDiscountingTermStructure | ( | const Handle< YieldTermStructure > & | discountingTermStructure | ) |
MakeOIS & withAveragingMethod | ( | RateAveraging::Type | averagingMethod | ) |
MakeOIS & withPricingEngine | ( | const ext::shared_ptr< PricingEngine > & | engine | ) |
Definition at line 204 of file makeois.cpp.
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Definition at line 79 of file makeois.hpp.
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Definition at line 80 of file makeois.hpp.
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Definition at line 81 of file makeois.hpp.
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Definition at line 82 of file makeois.hpp.
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Definition at line 84 of file makeois.hpp.
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Definition at line 85 of file makeois.hpp.
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Definition at line 85 of file makeois.hpp.
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Definition at line 86 of file makeois.hpp.
Definition at line 88 of file makeois.hpp.
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Definition at line 89 of file makeois.hpp.
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Definition at line 90 of file makeois.hpp.
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Definition at line 91 of file makeois.hpp.
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Definition at line 93 of file makeois.hpp.
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Definition at line 94 of file makeois.hpp.
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Definition at line 94 of file makeois.hpp.
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Definition at line 96 of file makeois.hpp.
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Definition at line 97 of file makeois.hpp.
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Definition at line 99 of file makeois.hpp.
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Definition at line 100 of file makeois.hpp.
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Definition at line 102 of file makeois.hpp.
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Definition at line 104 of file makeois.hpp.
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Definition at line 105 of file makeois.hpp.