OvernightIndexFuture Class Reference

#include <overnightindexfuture.hpp>

Inheritance diagram for OvernightIndexFuture:

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Public Member Functions
	OvernightIndexFuture (ext::shared_ptr< OvernightIndex > overnightIndex, const Date &valueDate, const Date &maturityDate, Handle< Quote > convexityAdjustment=Handle< Quote >(), RateAveraging::Type averagingMethod=RateAveraging::Compound)
Real	convexityAdjustment () const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
const ext::shared_ptr< OvernightIndex > &	overnightIndex () const
Date	valueDate () const
Date	maturityDate () const
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...
virtual void	setupArguments (PricingEngine::arguments *) const
virtual void	fetchResults (const PricingEngine::results *) const
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 ()

Private Member Functions
void	performCalculations () const override
Real	rate () const
Real	averagedRate () const
Real	compoundedRate () const

Private Attributes
ext::shared_ptr< OvernightIndex >	overnightIndex_
Date	valueDate_
Date	maturityDate_
Handle< Quote >	convexityAdjustment_
RateAveraging::Type	averagingMethod_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
Protected Member Functions inherited from LazyObject
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

Future on a compounded overnight index investment.

Compatible with SOFR futures and Sonia futures available on CME and ICE exchanges.

Definition at line 39 of file overnightindexfuture.hpp.

Constructor & Destructor Documentation

OvernightIndexFuture()

OvernightIndexFuture	(	ext::shared_ptr< OvernightIndex >	overnightIndex,
		const Date &	valueDate,
		const Date &	maturityDate,
		Handle< Quote >	convexityAdjustment = Handle<Quote>(),
		RateAveraging::Type	averagingMethod = RateAveraging::Compound
	)

Definition at line 28 of file overnightindexfuture.cpp.

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Member Function Documentation

convexityAdjustment()

Real convexityAdjustment

(

)

const

Definition at line 138 of file overnightindexfuture.cpp.

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isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 134 of file overnightindexfuture.cpp.

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overnightIndex()

const ext::shared_ptr< OvernightIndex > & overnightIndex

(

)

const

Definition at line 50 of file overnightindexfuture.hpp.

valueDate()

Date valueDate

(

)

const

Definition at line 51 of file overnightindexfuture.hpp.

maturityDate()

Date maturityDate

(

)

const

Definition at line 52 of file overnightindexfuture.hpp.

performCalculations()

void performCalculations ( ) const

overrideprivatevirtual

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Definition at line 142 of file overnightindexfuture.cpp.

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rate()

Real rate ( ) const

private

Definition at line 123 of file overnightindexfuture.cpp.

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averagedRate()

Real averagedRate ( ) const

private

Definition at line 42 of file overnightindexfuture.cpp.

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compoundedRate()

Real compoundedRate ( ) const

private

Definition at line 75 of file overnightindexfuture.cpp.

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Member Data Documentation

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

private

Definition at line 58 of file overnightindexfuture.hpp.

valueDate_

Date valueDate_

private

Definition at line 59 of file overnightindexfuture.hpp.

maturityDate_

Date maturityDate_

private

Definition at line 59 of file overnightindexfuture.hpp.

convexityAdjustment_

Handle<Quote> convexityAdjustment_

private

Definition at line 60 of file overnightindexfuture.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_

private

Definition at line 61 of file overnightindexfuture.hpp.