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) | |
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 |