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QuantLib_OvernightIndexedSwap
Langue: en
Version: 383072 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::OvernightIndexedSwap -Overnight indexed swap: fix vs compounded overnight rate.
SYNOPSIS
#include <ql/instruments/overnightindexedswap.hpp>
Inherits QuantLib::Swap.
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 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.
Author
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Contenus ©2006-2024 Benjamin Poulain
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