OvernightLeg Class Reference

helper class building a sequence of overnight coupons More...

#include <overnightindexedcoupon.hpp>

Collaboration diagram for OvernightLeg:

Public Member Functions
	OvernightLeg (Schedule schedule, ext::shared_ptr< OvernightIndex > overnightIndex)
OvernightLeg &	withNotionals (Real notional)
OvernightLeg &	withNotionals (const std::vector< Real > &notionals)
OvernightLeg &	withPaymentDayCounter (const DayCounter &)
OvernightLeg &	withPaymentAdjustment (BusinessDayConvention)
OvernightLeg &	withPaymentCalendar (const Calendar &)
OvernightLeg &	withPaymentLag (Integer lag)
OvernightLeg &	withGearings (Real gearing)
OvernightLeg &	withGearings (const std::vector< Real > &gearings)
OvernightLeg &	withSpreads (Spread spread)
OvernightLeg &	withSpreads (const std::vector< Spread > &spreads)
OvernightLeg &	withTelescopicValueDates (bool telescopicValueDates)
OvernightLeg &	withAveragingMethod (RateAveraging::Type averagingMethod)
OvernightLeg &	withLookbackDays (Natural lookbackDays)
OvernightLeg &	withLockoutDays (Natural lockoutDays)
OvernightLeg &	withObservationShift (bool applyObservationShift=true)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< OvernightIndex >	overnightIndex_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
Calendar	paymentCalendar_
BusinessDayConvention	paymentAdjustment_ = Following
Integer	paymentLag_ = 0
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
bool	telescopicValueDates_ = false
RateAveraging::Type	averagingMethod_ = RateAveraging::Compound
Natural	lookbackDays_ = Null<Natural>()
Natural	lockoutDays_ = 0
bool	applyObservationShift_ = false

Detailed Description

helper class building a sequence of overnight coupons

Definition at line 121 of file overnightindexedcoupon.hpp.

Constructor & Destructor Documentation

OvernightLeg()

OvernightLeg	(	Schedule	schedule,
		ext::shared_ptr< OvernightIndex >	overnightIndex
	)

Definition at line 225 of file overnightindexedcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

OvernightLeg & withNotionals

(

Real

notional

)

Definition at line 230 of file overnightindexedcoupon.cpp.

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withNotionals() [2/2]

OvernightLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 235 of file overnightindexedcoupon.cpp.

withPaymentDayCounter()

OvernightLeg & withPaymentDayCounter

(

const DayCounter &

dc

)

Definition at line 240 of file overnightindexedcoupon.cpp.

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withPaymentAdjustment()

OvernightLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 246 of file overnightindexedcoupon.cpp.

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withPaymentCalendar()

OvernightLeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 251 of file overnightindexedcoupon.cpp.

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withPaymentLag()

OvernightLeg & withPaymentLag

(

Integer

lag

)

Definition at line 256 of file overnightindexedcoupon.cpp.

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withGearings() [1/2]

OvernightLeg & withGearings

(

Real

gearing

)

Definition at line 261 of file overnightindexedcoupon.cpp.

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withGearings() [2/2]

OvernightLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 266 of file overnightindexedcoupon.cpp.

withSpreads() [1/2]

OvernightLeg & withSpreads

(

Spread

spread

)

Definition at line 271 of file overnightindexedcoupon.cpp.

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withSpreads() [2/2]

OvernightLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 276 of file overnightindexedcoupon.cpp.

withTelescopicValueDates()

OvernightLeg & withTelescopicValueDates

(

bool

telescopicValueDates

)

Definition at line 281 of file overnightindexedcoupon.cpp.

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withAveragingMethod()

OvernightLeg & withAveragingMethod

(

RateAveraging::Type

averagingMethod

)

Definition at line 286 of file overnightindexedcoupon.cpp.

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withLookbackDays()

OvernightLeg & withLookbackDays

(

Natural

lookbackDays

)

Definition at line 291 of file overnightindexedcoupon.cpp.

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withLockoutDays()

OvernightLeg & withLockoutDays

(

Natural

lockoutDays

)

Definition at line 295 of file overnightindexedcoupon.cpp.

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withObservationShift()

OvernightLeg & withObservationShift

(

bool

applyObservationShift = true

)

Definition at line 299 of file overnightindexedcoupon.cpp.

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operator Leg()

operator Leg

(

)

const

Definition at line 304 of file overnightindexedcoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 141 of file overnightindexedcoupon.hpp.

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 142 of file overnightindexedcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 143 of file overnightindexedcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 144 of file overnightindexedcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 145 of file overnightindexedcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = Following

private

Definition at line 146 of file overnightindexedcoupon.hpp.

paymentLag_

Integer paymentLag_ = 0

private

Definition at line 147 of file overnightindexedcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 148 of file overnightindexedcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 149 of file overnightindexedcoupon.hpp.

telescopicValueDates_

bool telescopicValueDates_ = false

private

Definition at line 150 of file overnightindexedcoupon.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_ = RateAveraging::Compound

private

Definition at line 151 of file overnightindexedcoupon.hpp.

lookbackDays_

Natural lookbackDays_ = Null<Natural>()

private

Definition at line 152 of file overnightindexedcoupon.hpp.

lockoutDays_

Natural lockoutDays_ = 0

private

Definition at line 153 of file overnightindexedcoupon.hpp.

applyObservationShift_

bool applyObservationShift_ = false

private

Definition at line 154 of file overnightindexedcoupon.hpp.