ArithmeticAverageOIS Class Reference

#include <ql/experimental/averageois/arithmeticaverageois.hpp>

Inheritance diagram for ArithmeticAverageOIS:

Public Member Functions
	ArithmeticAverageOIS (Type type, Real nominal, Schedule fixedLegSchedule, Rate fixedRate, DayCounter fixedDC, ext::shared_ptr< OvernightIndex > overnightIndex, Schedule overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)
	ArithmeticAverageOIS (Type type, std::vector< Real > nominals, Schedule fixedLegSchedule, Rate fixedRate, DayCounter fixedDC, ext::shared_ptr< OvernightIndex > overnightIndex, Schedule overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)
Inspectors
Type	type () const
Real	nominal () const
std::vector< Real >	nominals () const
Frequency	fixedLegPaymentFrequency ()
Frequency	overnightLegPaymentFrequency ()
Rate	fixedRate () const
const DayCounter &	fixedDayCount ()
const ext::shared_ptr< OvernightIndex > &	overnightIndex ()
Spread	spread () const
const Leg &	fixedLeg () const
const Leg &	overnightLeg () const
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
bool	payer (Size j) const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()

Results
Real	fixedLegBPS () const
Real	fixedLegNPV () const
Real	fairRate () const
Real	overnightLegBPS () const
Real	overnightLegNPV () const
Spread	fairSpread () const

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Real >	legNPV_
std::vector< Real >	legBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Deprecated

Use OvernightIndexedSwap instead. Deprecated in version 1.36.