QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
MakeArithmeticAverageOIS Class Reference

helper class More...

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

Public Member Functions

 MakeArithmeticAverageOIS (const Period &swapTenor, const boost::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days)
 
 operator ArithmeticAverageOIS () const
 
 operator boost::shared_ptr< ArithmeticAverageOIS > () const
 
MakeArithmeticAverageOISreceiveFixed (bool flag=true)
 
MakeArithmeticAverageOISwithType (ArithmeticAverageOIS::Type type)
 
MakeArithmeticAverageOISwithNominal (Real n)
 
MakeArithmeticAverageOISwithSettlementDays (Natural settlementDays)
 
MakeArithmeticAverageOISwithEffectiveDate (const Date &)
 
MakeArithmeticAverageOISwithTerminationDate (const Date &)
 
MakeArithmeticAverageOISwithRule (DateGeneration::Rule r)
 
MakeArithmeticAverageOISwithFixedLegPaymentFrequency (Frequency f)
 
MakeArithmeticAverageOISwithOvernightLegPaymentFrequency (Frequency f)
 
MakeArithmeticAverageOISwithEndOfMonth (bool flag=true)
 
MakeArithmeticAverageOISwithFixedLegDayCount (const DayCounter &dc)
 
MakeArithmeticAverageOISwithOvernightLegSpread (Spread sp)
 
MakeArithmeticAverageOISwithDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
 
MakeArithmeticAverageOISwithPricingEngine (const boost::shared_ptr< PricingEngine > &engine)
 
MakeArithmeticAverageOISwithArithmeticAverage (Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false)
 

Detailed Description

helper class

This class provides a more comfortable way to instantiate arithemtic average overnight indexed swaps.