OvernightIndexedSwap Class Reference

Overnight indexed swap: fix vs compounded overnight rate. More...

#include <ql/instruments/overnightindexedswap.hpp>

Inheritance diagram for OvernightIndexedSwap:

List of all members.

Public Types

enum  Type { Receiver = -1, Payer = 1 }

Public Member Functions

 OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0)
Inspectors
Type type () const
Real nominal () const
Frequency paymentFrequency ()
Rate fixedRate () const
const DayCounterfixedDayCount ()
const boost::shared_ptr
< OvernightIndex > & 
overnightIndex ()
Spread spread ()
const Leg & fixedLeg () const
const Leg & overnightLeg () const
Results
Real fixedLegBPS () const
Real fixedLegNPV () const
Real fairRate () const
Real overnightLegBPS () const
Real overnightLegNPV () const
Spread fairSpread () const


Detailed Description

Overnight indexed swap: fix vs compounded overnight rate.