QuantLibAddin::OvernightIndexedSwap Class Reference
#include <qlo/overnightindexedswap.hpp>
Inheritance diagram for QuantLibAddin::OvernightIndexedSwap:
Collaboration diagram for QuantLibAddin::OvernightIndexedSwap:
Public Member Functions | |
| OvernightIndexedSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, QuantLib::OvernightIndexedSwap::Type type, std::vector< QuantLib::Real > nominals, const boost::shared_ptr< QuantLib::Schedule > &schedule, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixedDC, const boost::shared_ptr< QuantLib::OvernightIndex > &overnightIndex, QuantLib::Spread overnightSpread, QuantLib::Natural paymentLag, bool permanent) | |
| OvernightIndexedSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, QuantLib::Natural settlDays, const QuantLib::Period &swapTenor, const boost::shared_ptr< QuantLib::OvernightIndex > &overnightIndex, QuantLib::Rate fixedRate, const QuantLib::Period &forwardStart, const QuantLib::DayCounter &fixLegDayCounter, QuantLib::Spread floatingLegSpread, QuantLib::Natural paymentLag, bool permanent) | |
| OvernightIndexedSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Date &startDate, const QuantLib::Date &enddate, const boost::shared_ptr< QuantLib::OvernightIndex > &overnightIndex, QuantLib::Rate fixedRate, const QuantLib::DayCounter &fixLegDayCounter, QuantLib::Spread floatingLegSpread, bool permanent) | |
| OvernightIndexedSwap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const boost::shared_ptr< QuantLib::OISRateHelper > &swapRH, bool permanent) | |
| std::vector< std::vector< ObjectHandler::property_t > > | fixedLegAnalysis (const QuantLib::Date &d) |
| std::vector< std::vector< ObjectHandler::property_t > > | overnightLegAnalysis (const QuantLib::Date &d) |
 Public Member Functions inherited from QuantLibAddin::Swap | |
| Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< boost::shared_ptr< Leg > > &legPtrs, const std::vector< bool > &payer, bool permanent) | |
| Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const std::vector< QuantLib::Leg > &legs, const std::vector< bool > &payer, bool permanent) | |
| Swap (const boost::shared_ptr< ObjectHandler::ValueObject > &properties, const QuantLib::Period &swapTenor, const boost::shared_ptr< QuantLib::SwapIndex > &swapIndex, const boost::shared_ptr< QuantLib::IborIndex > &iborIndex, QuantLib::Spread iborSpread, const QuantLib::Period &forwardStart, const boost::shared_ptr< QuantLib::CmsCouponPricer > &pricer, bool permanent) | |
| std::vector< std::vector< ObjectHandler::property_t > > | legAnalysis (QuantLib::Size i, const QuantLib::Date &d) |
| Public Member Functions inherited from QuantLibAddin::Instrument | |
| void | setPricingEngine (boost::shared_ptr< PricingEngine > &e) const |
Additional Inherited Members | |
| Protected Member Functions inherited from QuantLibAddin::Swap | |
| OH_OBJ_CTOR (Swap, Instrument) | |
Constructor & Destructor Documentation
◆ OvernightIndexedSwap() [1/4]
| QuantLibAddin::OvernightIndexedSwap::OvernightIndexedSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| QuantLib::OvernightIndexedSwap::Type | type, | ||
| std::vector< QuantLib::Real > | nominals, | ||
| const boost::shared_ptr< QuantLib::Schedule > & | schedule, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::DayCounter & | fixedDC, | ||
| const boost::shared_ptr< QuantLib::OvernightIndex > & | overnightIndex, | ||
| QuantLib::Spread | overnightSpread, | ||
| QuantLib::Natural | paymentLag, | ||
| bool | permanent | ||
| ) |
◆ OvernightIndexedSwap() [2/4]
| QuantLibAddin::OvernightIndexedSwap::OvernightIndexedSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| QuantLib::Natural | settlDays, | ||
| const QuantLib::Period & | swapTenor, | ||
| const boost::shared_ptr< QuantLib::OvernightIndex > & | overnightIndex, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::Period & | forwardStart, | ||
| const QuantLib::DayCounter & | fixLegDayCounter, | ||
| QuantLib::Spread | floatingLegSpread, | ||
| QuantLib::Natural | paymentLag, | ||
| bool | permanent | ||
| ) |
◆ OvernightIndexedSwap() [3/4]
| QuantLibAddin::OvernightIndexedSwap::OvernightIndexedSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const QuantLib::Date & | startDate, | ||
| const QuantLib::Date & | enddate, | ||
| const boost::shared_ptr< QuantLib::OvernightIndex > & | overnightIndex, | ||
| QuantLib::Rate | fixedRate, | ||
| const QuantLib::DayCounter & | fixLegDayCounter, | ||
| QuantLib::Spread | floatingLegSpread, | ||
| bool | permanent | ||
| ) |
◆ OvernightIndexedSwap() [4/4]
| QuantLibAddin::OvernightIndexedSwap::OvernightIndexedSwap | ( | const boost::shared_ptr< ObjectHandler::ValueObject > & | properties, |
| const boost::shared_ptr< QuantLib::OISRateHelper > & | swapRH, | ||
| bool | permanent | ||
| ) |
Member Function Documentation
◆ fixedLegAnalysis()
| std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::OvernightIndexedSwap::fixedLegAnalysis | ( | const QuantLib::Date & | d | ) |
◆ overnightLegAnalysis()
| std::vector<std::vector<ObjectHandler::property_t> > QuantLibAddin::OvernightIndexedSwap::overnightLegAnalysis | ( | const QuantLib::Date & | d | ) |
The documentation for this class was generated from the following file: