MakeOIS Class Reference

helper class More...

#include <makeois.hpp>

Collaboration diagram for MakeOIS:

Public Member Functions
	MakeOIS (const Period &swapTenor, const ext::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days)
	operator OvernightIndexedSwap () const
	operator ext::shared_ptr< OvernightIndexedSwap > () const
MakeOIS &	receiveFixed (bool flag=true)
MakeOIS &	withType (Swap::Type type)
MakeOIS &	withNominal (Real n)
MakeOIS &	withSettlementDays (Natural settlementDays)
MakeOIS &	withEffectiveDate (const Date &)
MakeOIS &	withTerminationDate (const Date &)
MakeOIS &	withRule (DateGeneration::Rule r)
MakeOIS &	withFixedLegRule (DateGeneration::Rule r)
MakeOIS &	withOvernightLegRule (DateGeneration::Rule r)
MakeOIS &	withPaymentFrequency (Frequency f)
MakeOIS &	withFixedLegPaymentFrequency (Frequency f)
MakeOIS &	withOvernightLegPaymentFrequency (Frequency f)
MakeOIS &	withPaymentAdjustment (BusinessDayConvention convention)
MakeOIS &	withPaymentLag (Integer lag)
MakeOIS &	withPaymentCalendar (const Calendar &cal)
MakeOIS &	withCalendar (const Calendar &cal)
MakeOIS &	withFixedLegCalendar (const Calendar &cal)
MakeOIS &	withOvernightLegCalendar (const Calendar &cal)
MakeOIS &	withConvention (BusinessDayConvention bdc)
MakeOIS &	withFixedLegConvention (BusinessDayConvention bdc)
MakeOIS &	withOvernightLegConvention (BusinessDayConvention bdc)
MakeOIS &	withTerminationDateConvention (BusinessDayConvention bdc)
MakeOIS &	withFixedLegTerminationDateConvention (BusinessDayConvention bdc)
MakeOIS &	withOvernightLegTerminationDateConvention (BusinessDayConvention bdc)
MakeOIS &	withEndOfMonth (bool flag=true)
MakeOIS &	withFixedLegEndOfMonth (bool flag=true)
MakeOIS &	withOvernightLegEndOfMonth (bool flag=true)
MakeOIS &	withFixedLegDayCount (const DayCounter &dc)
MakeOIS &	withOvernightLegSpread (Spread sp)
MakeOIS &	withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
MakeOIS &	withTelescopicValueDates (bool telescopicValueDates)
MakeOIS &	withAveragingMethod (RateAveraging::Type averagingMethod)
MakeOIS &	withPricingEngine (const ext::shared_ptr< PricingEngine > &engine)

Private Attributes
Period	swapTenor_
ext::shared_ptr< OvernightIndex >	overnightIndex_
Rate	fixedRate_
Period	forwardStart_
Natural	settlementDays_ = 2
Date	effectiveDate_
Date	terminationDate_
Calendar	fixedCalendar_
Calendar	overnightCalendar_
Frequency	fixedPaymentFrequency_ = Annual
Frequency	overnightPaymentFrequency_ = Annual
Calendar	paymentCalendar_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
BusinessDayConvention	fixedConvention_ = ModifiedFollowing
BusinessDayConvention	fixedTerminationDateConvention_ = ModifiedFollowing
BusinessDayConvention	overnightConvention_ = ModifiedFollowing
BusinessDayConvention	overnightTerminationDateConvention_ = ModifiedFollowing
DateGeneration::Rule	fixedRule_ = DateGeneration::Backward
DateGeneration::Rule	overnightRule_ = DateGeneration::Backward
bool	fixedEndOfMonth_ = false
bool	overnightEndOfMonth_ = 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

Detailed Description

helper class

This class provides a more comfortable way to instantiate overnight indexed swaps.

Definition at line 39 of file makeois.hpp.

Constructor & Destructor Documentation

MakeOIS()

MakeOIS	(	const Period &	swapTenor,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Rate	fixedRate = Null<Rate>(),
		const Period &	fwdStart = 0*Days
	)

Definition at line 30 of file makeois.cpp.

Member Function Documentation

operator OvernightIndexedSwap()

operator OvernightIndexedSwap

(

)

const

Definition at line 40 of file makeois.cpp.

operator ext::shared_ptr< OvernightIndexedSwap >()

operator ext::shared_ptr< OvernightIndexedSwap >

(

)

const

Definition at line 45 of file makeois.cpp.

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receiveFixed()

MakeOIS & receiveFixed

(

bool

flag = true

)

Definition at line 166 of file makeois.cpp.

withType()

MakeOIS & withType

(

Swap::Type

type

)

Definition at line 171 of file makeois.cpp.

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withNominal()

MakeOIS & withNominal

(

Real

n

)

Definition at line 176 of file makeois.cpp.

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withSettlementDays()

MakeOIS & withSettlementDays

(

Natural

settlementDays

)

Definition at line 181 of file makeois.cpp.

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withEffectiveDate()

MakeOIS & withEffectiveDate

(

const Date &

effectiveDate

)

Definition at line 187 of file makeois.cpp.

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withTerminationDate()

MakeOIS & withTerminationDate

(

const Date &

terminationDate

)

Definition at line 192 of file makeois.cpp.

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withRule()

MakeOIS & withRule

(

DateGeneration::Rule

r

)

Definition at line 241 of file makeois.cpp.

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withFixedLegRule()

MakeOIS & withFixedLegRule

(

DateGeneration::Rule

r

)

Definition at line 245 of file makeois.cpp.

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withOvernightLegRule()

MakeOIS & withOvernightLegRule

(

DateGeneration::Rule

r

)

Definition at line 250 of file makeois.cpp.

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withPaymentFrequency()

MakeOIS & withPaymentFrequency

(

Frequency

f

)

Definition at line 198 of file makeois.cpp.

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withFixedLegPaymentFrequency()

MakeOIS & withFixedLegPaymentFrequency

(

Frequency

f

)

Definition at line 202 of file makeois.cpp.

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withOvernightLegPaymentFrequency()

MakeOIS & withOvernightLegPaymentFrequency

(

Frequency

f

)

Definition at line 207 of file makeois.cpp.

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withPaymentAdjustment()

MakeOIS & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 212 of file makeois.cpp.

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withPaymentLag()

MakeOIS & withPaymentLag

(

Integer

lag

)

Definition at line 217 of file makeois.cpp.

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withPaymentCalendar()

MakeOIS & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 222 of file makeois.cpp.

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withCalendar()

MakeOIS & withCalendar

(

const Calendar &

cal

)

Definition at line 227 of file makeois.cpp.

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withFixedLegCalendar()

MakeOIS & withFixedLegCalendar

(

const Calendar &

cal

)

Definition at line 231 of file makeois.cpp.

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withOvernightLegCalendar()

MakeOIS & withOvernightLegCalendar

(

const Calendar &

cal

)

Definition at line 236 of file makeois.cpp.

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withConvention()

MakeOIS & withConvention

(

BusinessDayConvention

bdc

)

Definition at line 274 of file makeois.cpp.

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withFixedLegConvention()

MakeOIS & withFixedLegConvention

(

BusinessDayConvention

bdc

)

Definition at line 278 of file makeois.cpp.

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withOvernightLegConvention()

MakeOIS & withOvernightLegConvention

(

BusinessDayConvention

bdc

)

Definition at line 283 of file makeois.cpp.

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withTerminationDateConvention()

MakeOIS & withTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 288 of file makeois.cpp.

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withFixedLegTerminationDateConvention()

MakeOIS & withFixedLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 293 of file makeois.cpp.

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withOvernightLegTerminationDateConvention()

MakeOIS & withOvernightLegTerminationDateConvention

(

BusinessDayConvention

bdc

)

Definition at line 298 of file makeois.cpp.

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withEndOfMonth()

MakeOIS & withEndOfMonth

(

bool

flag = true

)

Definition at line 303 of file makeois.cpp.

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withFixedLegEndOfMonth()

MakeOIS & withFixedLegEndOfMonth

(

bool

flag = true

)

Definition at line 307 of file makeois.cpp.

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withOvernightLegEndOfMonth()

MakeOIS & withOvernightLegEndOfMonth

(

bool

flag = true

)

Definition at line 313 of file makeois.cpp.

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withFixedLegDayCount()

MakeOIS & withFixedLegDayCount

(

const DayCounter &

dc

)

Definition at line 269 of file makeois.cpp.

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withOvernightLegSpread()

MakeOIS & withOvernightLegSpread

(

Spread

sp

)

Definition at line 319 of file makeois.cpp.

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withDiscountingTermStructure()

MakeOIS & withDiscountingTermStructure

(

const Handle< YieldTermStructure > &

discountingTermStructure

)

Definition at line 255 of file makeois.cpp.

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withTelescopicValueDates()

MakeOIS & withTelescopicValueDates

(

bool

telescopicValueDates

)

Definition at line 324 of file makeois.cpp.

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withAveragingMethod()

MakeOIS & withAveragingMethod

(

RateAveraging::Type

averagingMethod

)

Definition at line 329 of file makeois.cpp.

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withPricingEngine()

MakeOIS & withPricingEngine

(

const ext::shared_ptr< PricingEngine > &

engine

)

Definition at line 263 of file makeois.cpp.

Member Data Documentation

swapTenor_

Period swapTenor_

private

Definition at line 94 of file makeois.hpp.

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 95 of file makeois.hpp.

fixedRate_

Rate fixedRate_

private

Definition at line 96 of file makeois.hpp.

forwardStart_

Period forwardStart_

private

Definition at line 97 of file makeois.hpp.

settlementDays_

Natural settlementDays_ = 2

private

Definition at line 99 of file makeois.hpp.

effectiveDate_

Date effectiveDate_

private

Definition at line 100 of file makeois.hpp.

terminationDate_

Date terminationDate_

private

Definition at line 100 of file makeois.hpp.

fixedCalendar_

Calendar fixedCalendar_

private

Definition at line 101 of file makeois.hpp.

overnightCalendar_

Calendar overnightCalendar_

private

Definition at line 101 of file makeois.hpp.

fixedPaymentFrequency_

Frequency fixedPaymentFrequency_ = Annual

private

Definition at line 103 of file makeois.hpp.

overnightPaymentFrequency_

Frequency overnightPaymentFrequency_ = Annual

private

Definition at line 104 of file makeois.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 105 of file makeois.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 106 of file makeois.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 107 of file makeois.hpp.

fixedConvention_

BusinessDayConvention fixedConvention_ = ModifiedFollowing

private

Definition at line 109 of file makeois.hpp.

fixedTerminationDateConvention_

BusinessDayConvention fixedTerminationDateConvention_ = ModifiedFollowing

private

Definition at line 110 of file makeois.hpp.

overnightConvention_

BusinessDayConvention overnightConvention_ = ModifiedFollowing

private

Definition at line 111 of file makeois.hpp.

overnightTerminationDateConvention_

BusinessDayConvention overnightTerminationDateConvention_ = ModifiedFollowing

private

Definition at line 112 of file makeois.hpp.

fixedRule_

DateGeneration::Rule fixedRule_ = DateGeneration::Backward

private

Definition at line 113 of file makeois.hpp.

overnightRule_

DateGeneration::Rule overnightRule_ = DateGeneration::Backward

private

Definition at line 114 of file makeois.hpp.

fixedEndOfMonth_

bool fixedEndOfMonth_ = false

private

Definition at line 115 of file makeois.hpp.

overnightEndOfMonth_

bool overnightEndOfMonth_ = false

private

Definition at line 115 of file makeois.hpp.

isDefaultEOM_

bool isDefaultEOM_ = true

private

Definition at line 115 of file makeois.hpp.

type_

Swap::Type type_ = Swap::Payer

private

Definition at line 117 of file makeois.hpp.

nominal_

Real nominal_ = 1.0

private

Definition at line 118 of file makeois.hpp.

overnightSpread_

Spread overnightSpread_ = 0.0

private

Definition at line 120 of file makeois.hpp.

fixedDayCount_

DayCounter fixedDayCount_

private

Definition at line 121 of file makeois.hpp.

engine_

ext::shared_ptr<PricingEngine> engine_

private

Definition at line 123 of file makeois.hpp.

telescopicValueDates_

bool telescopicValueDates_ = false

private

Definition at line 125 of file makeois.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_ = RateAveraging::Compound

private

Definition at line 126 of file makeois.hpp.