- QuantLib
- OvernightIndexedSwap
 
Overnight indexed swap: fix vs compounded overnight rate. More...
#include <ql/instruments/overnightindexedswap.hpp>

| Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } | 
| Public Member Functions | |
| OvernightIndexedSwap (Type type, Real nominal, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0) | |
| OvernightIndexedSwap (Type type, std::vector< Real > nominals, const Schedule &schedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, Spread spread=0.0) | |
| Inspectors | |
| Type | type () const | 
| Real | nominal () const | 
| std::vector< Real > | nominals () const | 
| Frequency | paymentFrequency () | 
| Rate | fixedRate () const | 
| const DayCounter & | fixedDayCount () | 
| const boost::shared_ptr < OvernightIndex > & | overnightIndex () | 
| Spread | spread () | 
| const Leg & | fixedLeg () const | 
| const Leg & | overnightLeg () const | 
| Results | |
| Real | fixedLegBPS () const | 
| Real | fixedLegNPV () const | 
| Real | fairRate () const | 
| Real | overnightLegBPS () const | 
| Real | overnightLegNPV () const | 
| Spread | fairSpread () const | 
Overnight indexed swap: fix vs compounded overnight rate.