Reference manual - version qle_version
Overnight indexed basis swap: floating vs compounded overnight rate. More...
#include <qle/instruments/oibasisswap.hpp>
Inheritance diagram for OvernightIndexedBasisSwap:Public Types | |
| enum | Type { Receiver = -1 , Payer = 1 } |
Public Member Functions | |
| OvernightIndexedBasisSwap (Type type, Real nominal, const Schedule &oisSchedule, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Schedule &iborSchedule, const boost::shared_ptr< IborIndex > &iborIndex, Spread oisSpread=0.0, Spread iborSpread=0.0, const bool telescopicValueDates=false) | |
| OvernightIndexedBasisSwap (Type type, std::vector< Real > nominals, const Schedule &oisSchedule, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Schedule &iborSchedule, const boost::shared_ptr< IborIndex > &iborIndex, Spread oisSpread=0.0, Spread iborSpread=0.0, const bool telescopicValueDates=false) | |
Inspectors | |
| Type | type () const |
| Real | nominal () const |
| std::vector< Real > | nominals () const |
| const Schedule & | oisSchedule () |
| const boost::shared_ptr< OvernightIndex > & | overnightIndex () |
| const Schedule & | iborSchedule () |
| const boost::shared_ptr< IborIndex > & | iborIndex () |
| Spread | oisSpread () |
| Spread | iborSpread () |
| const Leg & | iborLeg () const |
| const Leg & | overnightLeg () const |
Results | |
| Real | iborLegBPS () const |
| Real | iborLegNPV () const |
| Real | fairIborSpread () const |
| Real | overnightLegBPS () const |
| Real | overnightLegNPV () const |
| Spread | fairOvernightSpread () const |
Overnight indexed basis swap: floating vs compounded overnight rate.
