average overnight coupon More...
#include <qle/cashflows/averageonindexedcoupon.hpp>
Public Member Functions | |
AverageONIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const boost::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, Natural rateCutoff=0, const DayCounter &dayCounter=DayCounter(), const Period &lookback=0 *Days, const Size fixingDays=Null< Size >(), const Date &rateComputationStartDate=Null< Date >(), const Date &rateComputationEndDate=Null< Date >(), const bool telescopicValueDates=false) | |
Inspectors | |
const std::vector< Date > & | fixingDates () const |
fixing dates for the rates to be averaged | |
const std::vector< Time > & | dt () const |
accrual periods for the averaging | |
const std::vector< Rate > & | indexFixings () const |
fixings to be averaged | |
const std::vector< Date > & | valueDates () const |
value dates for the rates to be averaged | |
Natural | rateCutoff () const |
rate cutoff associated with the coupon | |
const Period & | lookback () const |
lookback period | |
const Date & | rateComputationStartDate () const |
rate computation start date | |
const Date & | rateComputationEndDate () const |
rate computation end date | |
const ext::shared_ptr< OvernightIndex > & | overnightIndex () const |
the underlying index | |
FloatingRateCoupon interface | |
Date | fixingDate () const override |
the date when the coupon is fully determined | |
Visitability | |
void | accept (AcyclicVisitor &) override |
average overnight coupon
Coupon paying the interest due to the weighted average of daily overnight fixings. The rateCutoff counts the number of fixing dates starting at the end date whose fixings are not taken into account, but rather replaced by the last known fixing before.
\ingroup cashflows