OvernightIndexedSwap Class Reference
Overnight indexed swap: fix vs compounded overnight rate. More...
#include <ql/instruments/overnightindexedswap.hpp>
Inheritance diagram for OvernightIndexedSwap:

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) | |
OvernightIndexedSwap (Type type, std::vector< Real > nominals, 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 |
std::vector< Real > | nominals () const |
Frequency | paymentFrequency () |
Rate | fixedRate () const |
const DayCounter & | fixedDayCount () |
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.