DoubleOvernightIndexedBasisSwap Class Reference

Double Overnight indexed basis swap: compounded overnight rate vs compounded overnight rate. More...

#include <qle/instruments/doubleoibasisswap.hpp>

Inheritance diagram for DoubleOvernightIndexedBasisSwap:

Public Member Functions
	DoubleOvernightIndexedBasisSwap (Real nominal, const Schedule &paySchedule, const boost::shared_ptr< OvernightIndex > &payIndex, const Schedule &recSchedule, const boost::shared_ptr< OvernightIndex > &recIndex, Spread paySpread=0.0, Spread recSpread=0.0, const bool telescopicValueDates=false)
	DoubleOvernightIndexedBasisSwap (std::vector< Real > nominals, const Schedule &paySchedule, const boost::shared_ptr< OvernightIndex > &payIndex, const Schedule &recSchedule, const boost::shared_ptr< OvernightIndex > &recIndex, Spread paySpread=0.0, Spread secondLegSpread=0.0, const bool telescopicValueDates=false)
Inspectors
Type	type () const
Real	nominal () const
std::vector< Real >	nominals () const
const Schedule &	paySchedule ()
const boost::shared_ptr< OvernightIndex > &	payIndex ()
const Schedule &	recSchedule ()
const boost::shared_ptr< OvernightIndex > &	recIndex ()
Spread	paySpread ()
Spread	secondLegSpread ()
const Leg &	payLeg () const
const Leg &	recLeg () const

Results
Real	payBPS () const
Real	payNPV () const
Real	fairPaySpread () const
Real	recBPS () const
Real	recNPV () const
Spread	fairRecSpread () const

Detailed Description

Double Overnight indexed basis swap: compounded overnight rate vs compounded overnight rate.