Reference manual - version qle_version
helper class More...
#include <qle/instruments/makeaverageois.hpp>
Public Member Functions | |
| MakeAverageOIS (const Period &swapTenor, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Period &onTenor, Rate fixedRate, const Period &fixedTenor, const DayCounter &fixedDayCounter, const Period &spotLagTenor=2 *Days, const Period &forwardStart=0 *Days) | |
| operator AverageOIS () const | |
| operator boost::shared_ptr< AverageOIS > () const | |
| MakeAverageOIS & | receiveFixed (bool receiveFixed=true) |
| MakeAverageOIS & | withType (AverageOIS::Type type) |
| MakeAverageOIS & | withNominal (Real nominal) |
| MakeAverageOIS & | withEffectiveDate (const Date &effectiveDate) |
| MakeAverageOIS & | withTerminationDate (const Date &terminationDate) |
| MakeAverageOIS & | withRule (DateGeneration::Rule rule) |
| MakeAverageOIS & | withSpotLagCalendar (const Calendar &spotLagCalendar) |
| MakeAverageOIS & | withFixedCalendar (const Calendar &fixedCalendar) |
| MakeAverageOIS & | withFixedConvention (BusinessDayConvention fixedConvention) |
| MakeAverageOIS & | withFixedTerminationDateConvention (BusinessDayConvention fixedTerminationDateConvention) |
| MakeAverageOIS & | withFixedRule (DateGeneration::Rule fixedRule) |
| MakeAverageOIS & | withFixedEndOfMonth (bool fixedEndOfMonth=false) |
| MakeAverageOIS & | withFixedFirstDate (const Date &fixedFirstDate) |
| MakeAverageOIS & | withFixedNextToLastDate (const Date &fixedNextToLastDate) |
| MakeAverageOIS & | withFixedPaymentAdjustment (BusinessDayConvention fixedPaymentAdjustment) |
| MakeAverageOIS & | withFixedPaymentCalendar (const Calendar &fixedPaymentCalendar) |
| MakeAverageOIS & | withONCalendar (const Calendar &onCalendar) |
| MakeAverageOIS & | withONConvention (BusinessDayConvention onConvention) |
| MakeAverageOIS & | withONTerminationDateConvention (BusinessDayConvention onTerminationDateConvention) |
| MakeAverageOIS & | withONRule (DateGeneration::Rule onRule) |
| MakeAverageOIS & | withONEndOfMonth (bool onEndOfMonth=false) |
| MakeAverageOIS & | withONFirstDate (const Date &onFirstDate) |
| MakeAverageOIS & | withONNextToLastDate (const Date &onNextToLastDate) |
| MakeAverageOIS & | withRateCutoff (Natural rateCutoff) |
| MakeAverageOIS & | withONSpread (Spread onSpread) |
| MakeAverageOIS & | withONGearing (Real onGearing) |
| MakeAverageOIS & | withONDayCounter (const DayCounter &onDayCounter) |
| MakeAverageOIS & | withONPaymentAdjustment (BusinessDayConvention onPaymentAdjustment) |
| MakeAverageOIS & | withONPaymentCalendar (const Calendar &onPaymentCalendar) |
| MakeAverageOIS & | withTelescopicValueDates (bool telescopicValueDates) |
| MakeAverageOIS & | withONCouponPricer (const boost::shared_ptr< AverageONIndexedCouponPricer > &onCouponPricer) |
| MakeAverageOIS & | withDiscountingTermStructure (const Handle< YieldTermStructure > &discountCurve) |
| MakeAverageOIS & | withPricingEngine (const boost::shared_ptr< PricingEngine > &engine) |
helper class
This class provides a more comfortable way to instantiate standard average ON indexed swaps.
\ingroup instruments