A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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helper class More...
#include <ql/experimental/averageois/makearithmeticaverageois.hpp>
Public Member Functions | |
| MakeArithmeticAverageOIS (const Period &swapTenor, const ext::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days) | |
| operator ArithmeticAverageOIS () const | |
| operator ext::shared_ptr< ArithmeticAverageOIS > () const | |
| MakeArithmeticAverageOIS & | receiveFixed (bool flag=true) |
| MakeArithmeticAverageOIS & | withType (ArithmeticAverageOIS::Type type) |
| MakeArithmeticAverageOIS & | withNominal (Real n) |
| MakeArithmeticAverageOIS & | withSettlementDays (Natural settlementDays) |
| MakeArithmeticAverageOIS & | withEffectiveDate (const Date &) |
| MakeArithmeticAverageOIS & | withTerminationDate (const Date &) |
| MakeArithmeticAverageOIS & | withRule (DateGeneration::Rule r) |
| MakeArithmeticAverageOIS & | withFixedLegPaymentFrequency (Frequency f) |
| MakeArithmeticAverageOIS & | withOvernightLegPaymentFrequency (Frequency f) |
| MakeArithmeticAverageOIS & | withEndOfMonth (bool flag=true) |
| MakeArithmeticAverageOIS & | withFixedLegDayCount (const DayCounter &dc) |
| MakeArithmeticAverageOIS & | withOvernightLegSpread (Spread sp) |
| MakeArithmeticAverageOIS & | withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure) |
| MakeArithmeticAverageOIS & | withPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
| MakeArithmeticAverageOIS & | withArithmeticAverage (Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false) |
helper class
This class provides a more comfortable way to instantiate arithemtic average overnight indexed swaps.