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QuantLib_MakeOIS
Langue: en
Version: 377953 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::MakeOIS -helper class
SYNOPSIS
#include <ql/instruments/makeois.hpp>
Public Member Functions
MakeOIS (const Period &swapTenor, const boost::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days)
operator OvernightIndexedSwap () const
operator boost::shared_ptr< OvernightIndexedSwap > () const
MakeOIS & receiveFixed (bool flag=true)
MakeOIS & withType (OvernightIndexedSwap::Type type)
MakeOIS & withNominal (Real n)
MakeOIS & withSettlementDays (Natural fixingDays)
MakeOIS & withEffectiveDate (const Date &)
MakeOIS & withTerminationDate (const Date &)
MakeOIS & withPaymentFrequency (Frequency f)
MakeOIS & withRule (DateGeneration::Rule r)
MakeOIS & withEndOfMonth (bool flag=true)
MakeOIS & withFixedLegDayCount (const DayCounter &dc)
MakeOIS & withOvernightLegSpread (Spread sp)
MakeOIS & withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
Detailed Description
helper class
This class provides a more comfortable way to instantiate overnight indexed swaps.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre