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QuantLib_MakeOIS

NAME

QuantLib::MakeOIS -

helper class

SYNOPSIS

#include <ql/instruments/makeois.hpp>

Public Member Functions

MakeOIS (const Period &swapTenor, const boost::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days)

operator OvernightIndexedSwap () const

operator boost::shared_ptr< OvernightIndexedSwap > () const

MakeOIS & receiveFixed (bool flag=true)

MakeOIS & withType (OvernightIndexedSwap::Type type)

MakeOIS & withNominal (Real n)

MakeOIS & withSettlementDays (Natural fixingDays)

MakeOIS & withEffectiveDate (const Date &)

MakeOIS & withTerminationDate (const Date &)

MakeOIS & withPaymentFrequency (Frequency f)

MakeOIS & withRule (DateGeneration::Rule r)

MakeOIS & withEndOfMonth (bool flag=true)

MakeOIS & withFixedLegDayCount (const DayCounter &dc)

MakeOIS & withOvernightLegSpread (Spread sp)

MakeOIS & withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)

Detailed Description

helper class

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

Author

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