QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
OvernightIndexedCoupon Class Reference

overnight coupon More...

#include <ql/cashflows/overnightindexedcoupon.hpp>

+ Inheritance diagram for OvernightIndexedCoupon:

Public Member Functions

 OvernightIndexedCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool telescopicValueDates=false)
 
Inspectors
const std::vector< Date > & fixingDates () const
 fixing dates for the rates to be compounded
 
const std::vector< Time > & dt () const
 accrual (compounding) periods
 
const std::vector< Rate > & indexFixings () const
 fixings to be compounded
 
const std::vector< Date > & valueDates () const
 value dates for the rates to be compounded
 
FloatingRateCoupon interface
Date fixingDate () const
 the date when the coupon is fully determined
 
- Public Member Functions inherited from FloatingRateCoupon
 FloatingRateCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InterestRateIndex > &index, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const DayCounter &dayCounter=DayCounter(), bool isInArrears=false, const Date &exCouponDate=Date())
 
Real amount () const
 returns the amount of the cash flow More...
 
Rate rate () const
 accrued rate
 
Real price (const Handle< YieldTermStructure > &discountingCurve) const
 
DayCounter dayCounter () const
 day counter for accrual calculation
 
Real accruedAmount (const Date &) const
 accrued amount at the given date
 
const ext::shared_ptr< InterestRateIndex > & index () const
 floating index
 
Natural fixingDays () const
 fixing days
 
Real gearing () const
 index gearing, i.e. multiplicative coefficient for the index
 
Spread spread () const
 spread paid over the fixing of the underlying index
 
virtual Rate indexFixing () const
 fixing of the underlying index
 
virtual Rate convexityAdjustment () const
 convexity adjustment
 
virtual Rate adjustedFixing () const
 convexity-adjusted fixing
 
bool isInArrears () const
 whether or not the coupon fixes in arrears
 
void update ()
 
virtual void setPricer (const ext::shared_ptr< FloatingRateCouponPricer > &)
 
ext::shared_ptr< FloatingRateCouponPricerpricer () const
 
- Public Member Functions inherited from Coupon
 Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
Date date () const
 
Date exCouponDate () const
 returns the date that the cash flow trades exCoupon
 
virtual Real nominal () const
 
const DateaccrualStartDate () const
 start of the accrual period
 
const DateaccrualEndDate () const
 end of the accrual period
 
const DatereferencePeriodStart () const
 start date of the reference period
 
const DatereferencePeriodEnd () const
 end date of the reference period
 
Time accrualPeriod () const
 accrual period as fraction of year
 
Date::serial_type accrualDays () const
 accrual period in days
 
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date
 
Date::serial_type accruedDays (const Date &) const
 accrued days at the given date
 
- Public Member Functions inherited from CashFlow
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 returns true if an event has already occurred before a date More...
 
bool tradingExCoupon (const Date &refDate=Date()) const
 returns true if the cashflow is trading ex-coupon on the refDate
 
Event interface
Visitability
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Visitability

void accept (AcyclicVisitor &)
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from FloatingRateCoupon
Rate convexityAdjustmentImpl (Rate fixing) const
 convexity adjustment for the given index fixing
 
- Protected Attributes inherited from FloatingRateCoupon
ext::shared_ptr< InterestRateIndexindex_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
Real gearing_
 
Spread spread_
 
bool isInArrears_
 
ext::shared_ptr< FloatingRateCouponPricerpricer_
 
- Protected Attributes inherited from Coupon
Date paymentDate_
 
Real nominal_
 
Date accrualStartDate_
 
Date accrualEndDate_
 
Date refPeriodStart_
 
Date refPeriodEnd_
 
Date exCouponDate_
 
Real accrualPeriod_
 

Detailed Description

overnight coupon

Coupon paying the compounded interest due to daily overnight fixings.

Warning:
telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.