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