28#ifndef quantlib_overnight_indexed_coupon_hpp
29#define quantlib_overnight_indexed_coupon_hpp
52 const Date& paymentDate,
54 const Date& startDate,
56 const ext::shared_ptr<OvernightIndex>& overnightIndex,
62 bool telescopicValueDates =
false,
69 const std::vector<Time>&
dt()
const {
return dt_; }
91 std::vector<Time>
dt_;
114 operator Leg()
const;
degenerate base class for the Acyclic Visitor pattern
virtual Real nominal() const
Date date() const override
base floating-rate coupon class
Real gearing() const
index gearing, i.e. multiplicative coefficient for the index
DayCounter dayCounter() const override
day counter for accrual calculation
Spread spread() const
spread paid over the fixing of the underlying index
std::vector< Date > fixingDates_
const RateAveraging::Type averagingMethod() const
averaging method
const std::vector< Date > & valueDates() const
value dates for the rates to be compounded
const std::vector< Rate > & indexFixings() const
fixings to be compounded
void accept(AcyclicVisitor &) override
std::vector< Rate > fixings_
RateAveraging::Type averagingMethod_
Real accruedAmount(const Date &) const override
accrued amount at the given date
std::vector< Date > valueDates_
const std::vector< Time > & dt() const
accrual (compounding) periods
const std::vector< Date > & fixingDates() const
fixing dates for the rates to be compounded
Date fixingDate() const override
the date when the coupon is fully determined
Rate averageRate(const Date &date) const
helper class building a sequence of overnight coupons
ext::shared_ptr< OvernightIndex > overnightIndex_
BusinessDayConvention paymentAdjustment_
bool telescopicValueDates_
OvernightLeg & withGearings(Real gearing)
OvernightLeg & withPaymentCalendar(const Calendar &)
Calendar paymentCalendar_
OvernightLeg & withTelescopicValueDates(bool telescopicValueDates)
OvernightLeg & withPaymentAdjustment(BusinessDayConvention)
std::vector< Real > notionals_
std::vector< Spread > spreads_
OvernightLeg & withNotionals(Real notional)
RateAveraging::Type averagingMethod_
OvernightLeg & withAveragingMethod(RateAveraging::Type averagingMethod)
OvernightLeg & withPaymentDayCounter(const DayCounter &)
OvernightLeg & withSpreads(Spread spread)
OvernightLeg & withPaymentLag(Integer lag)
std::vector< Real > gearings_
DayCounter paymentDayCounter_
Coupon paying a variable index-based rate.
BusinessDayConvention
Business Day conventions.
QL_INTEGER Integer
integer number
Real Spread
spreads on interest rates
std::size_t Size
size of a container
base class for Inter-Bank-Offered-Rate indexes
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.