ArithmeticAverageOIS

NAME

ArithmeticAverageOIS − Arithemtic Average OIS: fix vs arithmetic average of overnight rate.

SYNOPSIS

#include <ql/experimental/averageois/arithmeticaverageois.hpp>

Inherits Swap.

Public Types

enum Type { Receiver = -1, Payer = 1 }

Public Member Functions

ArithmeticAverageOIS (Type type, Real nominal, const Schedule &fixedLegSchedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Schedule &overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)
ArithmeticAverageOIS (Type type, std::vector< Real > nominals, const Schedule &fixedLegSchedule, Rate fixedRate, const DayCounter &fixedDC, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Schedule &overnightLegSchedule, Spread spread=0.0, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)

Inspectors

Type type () const
Real nominal () const
std::vector< Real > nominals () const
Frequency fixedLegPaymentFrequency ()
Frequency overnightLegPaymentFrequency ()
Rate fixedRate () const
const DayCounter & fixedDayCount ()
const boost::shared_ptr< OvernightIndex > & overnightIndex ()
Spread spread ()
const Leg & fixedLeg () const
const Leg & overnightLeg () const

Results

Real fixedLegBPS () const
Real fixedLegNPV () const
Real fairRate () const
Real overnightLegBPS () const
Real overnightLegNPV () const
Spread fairSpread () const

Additional Inherited Members

Detailed Description

Arithemtic Average OIS: fix vs arithmetic average of overnight rate.

Author

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