Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More...

#include <qle/instruments/oiccbasisswap.hpp>

Inheritance diagram for OvernightIndexedCrossCcyBasisSwap:

Public Member Functions
	OvernightIndexedCrossCcyBasisSwap (Real payNominal, Currency payCurrency, const Schedule &paySchedule, const boost::shared_ptr< OvernightIndex > &payIndex, Real paySpread, Real recNominal, Currency recCurrency, const Schedule &recSchedule, const boost::shared_ptr< OvernightIndex > &recIndex, Real recSpread)

Inspectors
Real	payNominal () const

Currency	payCurrency () const

const Schedule &	paySchedule ()

const boost::shared_ptr< OvernightIndex > &	payIndex ()

Real	paySpread () const

Real	recNominal () const

Currency	recCurrency () const

const Schedule &	recSchedule ()

const boost::shared_ptr< OvernightIndex > &	recIndex ()

Real	recSpread () const

const Leg &	payLeg () const

const Leg &	recLeg () const

Results
Real	payLegBPS () const

Real	payLegNPV () const

Real	fairPayLegSpread () const

Real	recLegBPS () const

Real	recLegNPV () const

Spread	fairRecLegSpread () const

void	setupArguments (PricingEngine::arguments *args) const override

void	fetchResults (const PricingEngine::results *) const override

Detailed Description

Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2.

Classes