A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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helper class More...
#include <ql/instruments/makeois.hpp>
Public Member Functions | |
| MakeOIS (const Period &swapTenor, const ext::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days) | |
| operator OvernightIndexedSwap () const | |
| operator ext::shared_ptr< OvernightIndexedSwap > () const | |
| MakeOIS & | receiveFixed (bool flag=true) |
| MakeOIS & | withType (OvernightIndexedSwap::Type type) |
| MakeOIS & | withNominal (Real n) |
| MakeOIS & | withSettlementDays (Natural settlementDays) |
| MakeOIS & | withEffectiveDate (const Date &) |
| MakeOIS & | withTerminationDate (const Date &) |
| MakeOIS & | withRule (DateGeneration::Rule r) |
| MakeOIS & | withPaymentFrequency (Frequency f) |
| MakeOIS & | withPaymentAdjustment (BusinessDayConvention convention) |
| MakeOIS & | withPaymentLag (Natural lag) |
| MakeOIS & | withPaymentCalendar (const Calendar &cal) |
| MakeOIS & | withEndOfMonth (bool flag=true) |
| MakeOIS & | withFixedLegDayCount (const DayCounter &dc) |
| MakeOIS & | withOvernightLegSpread (Spread sp) |
| MakeOIS & | withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure) |
| MakeOIS & | withTelescopicValueDates (bool telescopicValueDates) |
| MakeOIS & | withPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
helper class
This class provides a more comfortable way to instantiate overnight indexed swaps.