QuantLib_OvernightIndexedSwap

Langue: en

Version: 383072 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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