OvernightIndexedCoupon Class Reference

overnight coupon More...

#include <ql/cashflows/overnightindexedcoupon.hpp>

Inheritance diagram for OvernightIndexedCoupon:

Public Member Functions
	OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false)
Inspectors
const std::vector< Date > &	fixingDates () const
	fixing dates for the rates to be compounded
const std::vector< Time > &	dt () const
	accrual (compounding) periods
const std::vector< Rate > &	indexFixings () const
	fixings to be compounded
const std::vector< Date > &	valueDates () const
	value dates for the rates to be compounded
const std::vector< Date > &	interestDates () const
	interest dates for the rates to be compounded
RateAveraging::Type	averagingMethod () const
	averaging method
Natural	lockoutDays () const
	lockout days
bool	applyObservationShift () const
	apply observation shift
FloatingRateCoupon interface
Date	fixingDate () const override
	the date when the coupon is fully determined
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
Visitability
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from FloatingRateCoupon
	FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), DayCounter dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
void	performCalculations () const override
Real	amount () const override
	returns the amount of the cash flow
Rate	rate () const override
	accrued rate
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation
const ext::shared_ptr< InterestRateIndex > &	index () const
	floating index
Natural	fixingDays () const
	fixing days
Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index
Spread	spread () const
	spread paid over the fixing of the underlying index
virtual Rate	indexFixing () const
	fixing of the underlying index
virtual Rate	convexityAdjustment () const
	convexity adjustment
virtual Rate	adjustedFixing () const
	convexity-adjusted fixing
bool	isInArrears () const
	whether or not the coupon fixes in arrears
virtual void	setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &)
ext::shared_ptr< FloatingRateCouponPricer >	pricer () const
Public Member Functions inherited from Coupon
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Date	date () const override
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period
const Date &	accrualEndDate () const
	end of the accrual period
const Date &	referencePeriodStart () const
	start date of the reference period
const Date &	referencePeriodEnd () const
	end date of the reference period
Time	accrualPeriod () const
	accrual period as fraction of year
Date::serial_type	accrualDays () const
	accrual period in days
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
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 LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()
virtual void	deepUpdate ()

Telescopic property
Telescopic formula cannot be used with lookback days being different than intrinsic index fixing delay. Only when index fixing delay is 0 and observation shift is used, we can apply telescopic formula, when applying lookback period.
bool	canApplyTelescopicFormula () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing
virtual void	calculate () const
ext::shared_ptr< InterestRateIndex >	index_
DayCounter	dayCounter_
Natural	fixingDays_
Real	gearing_
Spread	spread_
bool	isInArrears_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
Real	rate_
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

overnight coupon

Coupon paying the interest, depending on the averaging convention, due to daily overnight fixings.

Warning

telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.

Member Function Documentation

fixingDate()

Date fixingDate ( ) const

overridevirtual

the date when the coupon is fully determined

Reimplemented from FloatingRateCoupon.

accruedAmount()

Real accruedAmount ( const Date & ) const

overridevirtual

accrued amount at the given date

Reimplemented from FloatingRateCoupon.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from FloatingRateCoupon.