Overnight indexed swap: fix vs compounded overnight rate. More...
#include <overnightindexedswap.hpp>
Inheritance diagram for OvernightIndexedSwap:
Collaboration diagram for OvernightIndexedSwap:
Public Member Functions | |
| OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false) | |
| OvernightIndexedSwap (Type type, const std::vector< Real > &nominals, const Schedule &schedule, Rate fixedRate, DayCounter fixedDC, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false) | |
| OvernightIndexedSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false) | |
| OvernightIndexedSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDC, const std::vector< Real > &overnightNominals, Schedule overnightSchedule, const ext::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0, Integer paymentLag=0, BusinessDayConvention paymentAdjustment=Following, const Calendar &paymentCalendar=Calendar(), bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false) | |
Inspectors | |
| Frequency | paymentFrequency () const |
| const std::vector< Real > & | overnightNominals () const |
| const Schedule & | overnightSchedule () const |
| const ext::shared_ptr< OvernightIndex > & | overnightIndex () const |
| const Leg & | overnightLeg () const |
| RateAveraging::Type | averagingMethod () const |
| Natural | lookbackDays () const |
| Natural | lockoutDays () const |
| bool | applyObservationShift () const |
| Public Member Functions inherited from FixedVsFloatingSwap | |
| FixedVsFloatingSwap (Type type, std::vector< Real > fixedNominals, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, std::vector< Real > floatingNominals, Schedule floatingSchedule, ext::shared_ptr< IborIndex > iborIndex, Spread spread, DayCounter floatingDayCount, ext::optional< BusinessDayConvention > paymentConvention=ext::nullopt, Integer paymentLag=0, const Calendar &paymentCalendar=Calendar()) | |
| Type | type () const |
| Real | nominal () const |
| const std::vector< Real > & | nominals () const |
| const std::vector< Real > & | fixedNominals () const |
| const Schedule & | fixedSchedule () const |
| Rate | fixedRate () const |
| const DayCounter & | fixedDayCount () const |
| const std::vector< Real > & | floatingNominals () const |
| const Schedule & | floatingSchedule () const |
| const ext::shared_ptr< IborIndex > & | iborIndex () const |
| Spread | spread () const |
| const DayCounter & | floatingDayCount () const |
| BusinessDayConvention | paymentConvention () const |
| const Leg & | fixedLeg () const |
| const Leg & | floatingLeg () const |
| Real | fixedLegBPS () const |
| Real | fixedLegNPV () const |
| Rate | fairRate () const |
| Real | floatingLegBPS () const |
| Real | floatingLegNPV () const |
| Spread | fairSpread () const |
| void | setupArguments (PricingEngine::arguments *args) const override |
| void | fetchResults (const PricingEngine::results *) const override |
| 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. More... | |
| 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 | |
| Instrument () | |
| Real | NPV () const |
| returns the net present value of the instrument. More... | |
| Real | errorEstimate () const |
| returns the error estimate on the NPV when available. More... | |
| const Date & | valuationDate () const |
| returns the date the net present value refers to. More... | |
| template<typename T > | |
| T | result (const std::string &tag) const |
| returns any additional result returned by the pricing engine. More... | |
| const std::map< std::string, ext::any > & | additionalResults () const |
| returns all additional result returned by the pricing engine. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &) |
| set the pricing engine to be used. More... | |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| Public Member Functions inherited from Observable | |
| Observable ()=default | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| void | notifyObservers () |
| Public Member Functions inherited from Observer | |
| Observer ()=default | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| virtual | ~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 | update ()=0 |
| virtual void | deepUpdate () |
Results | |
| ext::shared_ptr< OvernightIndex > | overnightIndex_ |
| RateAveraging::Type | averagingMethod_ |
| Natural | lookbackDays_ |
| Natural | lockoutDays_ |
| bool | applyObservationShift_ |
| Real | overnightLegBPS () const |
| Real | overnightLegNPV () const |
| void | setupFloatingArguments (arguments *args) const override |
Additional Inherited Members | |
| Public Types inherited from Swap | |
| enum | Type { Receiver = -1 , Payer = 1 } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from Swap | |
| void | setupExpired () const override |
| Swap (Size legs) | |
| Protected Member Functions inherited from Instrument | |
| void | calculate () const override |
| void | performCalculations () const override |
| Protected Member Functions inherited from LazyObject | |
| Protected Attributes inherited from Swap | |
| 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_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
Overnight indexed swap: fix vs compounded overnight rate.
Definition at line 42 of file overnightindexedswap.hpp.
Constructor & Destructor Documentation
◆ OvernightIndexedSwap() [1/4]
| OvernightIndexedSwap | ( | Type | type, |
| Real | nominal, | ||
| const Schedule & | schedule, | ||
| Rate | fixedRate, | ||
| DayCounter | fixedDC, | ||
| const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
| Spread | spread = 0.0, |
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| Integer | paymentLag = 0, |
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| BusinessDayConvention | paymentAdjustment = Following, |
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| const Calendar & | paymentCalendar = Calendar(), |
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| bool | telescopicValueDates = false, |
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| RateAveraging::Type | averagingMethod = RateAveraging::Compound, |
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| Natural | lookbackDays = Null<Natural>(), |
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| Natural | lockoutDays = 0, |
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| bool | applyObservationShift = false |
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| ) |
Definition at line 30 of file overnightindexedswap.cpp.
◆ OvernightIndexedSwap() [2/4]
| OvernightIndexedSwap | ( | Type | type, |
| const std::vector< Real > & | nominals, | ||
| const Schedule & | schedule, | ||
| Rate | fixedRate, | ||
| DayCounter | fixedDC, | ||
| const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
| Spread | spread = 0.0, |
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| Integer | paymentLag = 0, |
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| BusinessDayConvention | paymentAdjustment = Following, |
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| const Calendar & | paymentCalendar = Calendar(), |
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| bool | telescopicValueDates = false, |
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| RateAveraging::Type | averagingMethod = RateAveraging::Compound, |
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| Natural | lookbackDays = Null<Natural>(), |
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| Natural | lockoutDays = 0, |
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| bool | applyObservationShift = false |
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| ) |
Definition at line 61 of file overnightindexedswap.cpp.
◆ OvernightIndexedSwap() [3/4]
| OvernightIndexedSwap | ( | Type | type, |
| Real | nominal, | ||
| Schedule | fixedSchedule, | ||
| Rate | fixedRate, | ||
| DayCounter | fixedDC, | ||
| Schedule | overnightSchedule, | ||
| const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
| Spread | spread = 0.0, |
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| Integer | paymentLag = 0, |
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| BusinessDayConvention | paymentAdjustment = Following, |
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| const Calendar & | paymentCalendar = Calendar(), |
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| bool | telescopicValueDates = false, |
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| RateAveraging::Type | averagingMethod = RateAveraging::Compound, |
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| Natural | lookbackDays = Null<Natural>(), |
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| Natural | lockoutDays = 0, |
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| bool | applyObservationShift = false |
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| ) |
Definition at line 94 of file overnightindexedswap.cpp.
◆ OvernightIndexedSwap() [4/4]
| OvernightIndexedSwap | ( | Type | type, |
| std::vector< Real > | fixedNominals, | ||
| Schedule | fixedSchedule, | ||
| Rate | fixedRate, | ||
| DayCounter | fixedDC, | ||
| const std::vector< Real > & | overnightNominals, | ||
| Schedule | overnightSchedule, | ||
| const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
| Spread | spread = 0.0, |
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| Integer | paymentLag = 0, |
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| BusinessDayConvention | paymentAdjustment = Following, |
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| const Calendar & | paymentCalendar = Calendar(), |
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| bool | telescopicValueDates = false, |
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| RateAveraging::Type | averagingMethod = RateAveraging::Compound, |
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| Natural | lookbackDays = Null<Natural>(), |
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| Natural | lockoutDays = 0, |
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| bool | applyObservationShift = false |
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| ) |
Member Function Documentation
◆ paymentFrequency()
| Frequency paymentFrequency | ( | ) | const |
◆ overnightNominals()
| const std::vector< Real > & overnightNominals | ( | ) | const |
Definition at line 118 of file overnightindexedswap.hpp.
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◆ overnightSchedule()
| const Schedule & overnightSchedule | ( | ) | const |
◆ overnightIndex()
| const ext::shared_ptr< OvernightIndex > & overnightIndex | ( | ) | const |
Definition at line 120 of file overnightindexedswap.hpp.
◆ overnightLeg()
| const Leg & overnightLeg | ( | ) | const |
◆ averagingMethod()
| RateAveraging::Type averagingMethod | ( | ) | const |
Definition at line 123 of file overnightindexedswap.hpp.
◆ lookbackDays()
| Natural lookbackDays | ( | ) | const |
Definition at line 124 of file overnightindexedswap.hpp.
◆ lockoutDays()
| Natural lockoutDays | ( | ) | const |
Definition at line 125 of file overnightindexedswap.hpp.
◆ applyObservationShift()
| bool applyObservationShift | ( | ) | const |
Definition at line 126 of file overnightindexedswap.hpp.
◆ overnightLegBPS()
| Real overnightLegBPS | ( | ) | const |
◆ overnightLegNPV()
| Real overnightLegNPV | ( | ) | const |
◆ setupFloatingArguments()
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overrideprivatevirtual |
Implements FixedVsFloatingSwap.
Definition at line 169 of file overnightindexedswap.cpp.
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Member Data Documentation
◆ overnightIndex_
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private |
Definition at line 137 of file overnightindexedswap.hpp.
◆ averagingMethod_
|
private |
Definition at line 138 of file overnightindexedswap.hpp.
◆ lookbackDays_
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private |
Definition at line 139 of file overnightindexedswap.hpp.
◆ lockoutDays_
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private |
Definition at line 140 of file overnightindexedswap.hpp.
◆ applyObservationShift_
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private |
Definition at line 141 of file overnightindexedswap.hpp.