QuantLib: OvernightIndexedCoupon Class Reference

overnight coupon More...

#include <overnightindexedcoupon.hpp>

Inheritance diagram for OvernightIndexedCoupon:

Collaboration 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 More...

const std::vector< Time > &	dt () const
	accrual (compounding) periods More...

const std::vector< Rate > &	indexFixings () const
	fixings to be compounded More...

const std::vector< Date > &	valueDates () const
	value dates for the rates to be compounded More...

const std::vector< Date > &	interestDates () const
	interest dates for the rates to be compounded More...

RateAveraging::Type	averagingMethod () const
	averaging method More...

Natural	lockoutDays () const
	lockout days More...

bool	applyObservationShift () const
	apply observation shift More...

FloatingRateCoupon interface
Date	fixingDate () const override
	the date when the coupon is fully determined More...

Real	accruedAmount (const Date &) const override
	accrued amount at the given date More...

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 More...

Rate	rate () const override
	accrued rate More...

Real	price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter	dayCounter () const override
	day counter for accrual calculation More...

const ext::shared_ptr< InterestRateIndex > &	index () const
	floating index More...

Natural	fixingDays () const
	fixing days More...

Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index More...

Spread	spread () const
	spread paid over the fixing of the underlying index More...

virtual Rate	indexFixing () const
	fixing of the underlying index More...

virtual Rate	convexityAdjustment () const
	convexity adjustment More...

virtual Rate	adjustedFixing () const
	convexity-adjusted fixing More...

bool	isInArrears () const
	whether or not the coupon fixes in arrears More...

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 More...

virtual Real	nominal () const

const Date &	accrualStartDate () const
	start of the accrual period More...

const Date &	accrualEndDate () const
	end of the accrual period More...

const Date &	referencePeriodStart () const
	start date of the reference period More...

const Date &	referencePeriodEnd () const
	end date of the reference period More...

Time	accrualPeriod () const
	accrual period as fraction of year More...

Date::serial_type	accrualDays () const
	accrual period in days More...

Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date More...

Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date More...

Public Member Functions inherited from CashFlow
	~CashFlow () override=default

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 More...

bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate More...

Public Member Functions inherited from Event
	~Event () override=default

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 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 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 ()

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.
std::vector< Date >	valueDates_

std::vector< Date >	interestDates_

std::vector< Date >	fixingDates_

std::vector< Rate >	fixings_

Size	n_

std::vector< Time >	dt_

RateAveraging::Type	averagingMethod_

Natural	lockoutDays_

bool	applyObservationShift_

bool	canApplyTelescopicFormula () const

Rate	averageRate (const Date &date) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from FloatingRateCoupon
Rate	convexityAdjustmentImpl (Rate fixing) const
	convexity adjustment for the given index fixing More...

Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Protected Attributes inherited from FloatingRateCoupon
ext::shared_ptr< InterestRateIndex >	index_

DayCounter	dayCounter_

Natural	fixingDays_

Real	gearing_

Spread	spread_

bool	isInArrears_

ext::shared_ptr< FloatingRateCouponPricer >	pricer_

Real	rate_

Protected Attributes inherited from Coupon
Date	paymentDate_

Real	nominal_

Date	accrualStartDate_

Date	accrualEndDate_

Date	refPeriodStart_

Date	refPeriodEnd_

Date	exCouponDate_

Real	accrualPeriod_

Protected Attributes inherited from LazyObject
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.

Definition at line 50 of file overnightindexedcoupon.hpp.

Constructor & Destructor Documentation

◆ OvernightIndexedCoupon()

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`
	)