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Class OvernightIndexedCoupon

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.

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • paymentDate: Date
    • nominal: Real
    • startDate: Date
    • endDate: Date
    • overnightIndex: OvernightIndex
    • Default value gearing: Rate = 1
    • Default value spread: Spread = 0
    • Default value refPeriodStart: Date = null
    • Default value refPeriodEnd: Date = null
    • Default value dayCounter: DayCounter = new DayCounter()
    • Default value telescopicValueDates: boolean = false

    Returns OvernightIndexedCoupon

Properties

_accrualEndDate

_accrualEndDate: Date

_accrualPeriod

_accrualPeriod: Real

_accrualStartDate

_accrualStartDate: Date

Protected _dayCounter

_dayCounter: DayCounter

Private _dt

_dt: Time[]

_exCouponDate

_exCouponDate: Date

Private _fixingDates

_fixingDates: Date[]

Protected _fixingDays

_fixingDays: Natural

Private _fixings

_fixings: Rate[]

Protected _gearing

_gearing: Real

Protected _index

_index: InterestRateIndex

_isDisposed

_isDisposed: boolean = false

Protected _isInArrears

_isInArrears: boolean

Private _n

_n: Size

_nominal

_nominal: Real

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_paymentDate

_paymentDate: Date

Protected _pricer

_pricer: FloatingRateCouponPricer

_refPeriodEnd

_refPeriodEnd: Date

_refPeriodStart

_refPeriodStart: Date

Protected _spread

_spread: Spread

Protected _swapletRate

_swapletRate: Real

Private _valueDates

_valueDates: Date[]

accrualDays

accrualDays: () => Integer

Type declaration

accrualEndDate

accrualEndDate: () => Date

Type declaration

    • (): Date

    • Returns Date

accrualPeriod

accrualPeriod: () => Time

Type declaration

accrualStartDate

accrualStartDate: () => Date

Type declaration

    • (): Date

    • Returns Date

accruedDays

accruedDays: (d: Date) => Integer

Type declaration

accruedPeriod

accruedPeriod: (d: Date) => Time

Type declaration

    • Parameters

      • d: Date

      Returns Time

date

date: () => Date

Type declaration

    • (): Date

    • Returns Date

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void

    • Returns void

dispose

dispose: () => void

Type declaration

    • (): void

    • Returns void

exCouponDate

exCouponDate: () => Date

Type declaration

    • (): Date

    • Returns Date

hasOccurred

hasOccurred: (refDate: Date, includeRefDate: boolean) => boolean

Type declaration

    • (refDate: Date, includeRefDate: boolean): boolean

    • Parameters

      • refDate: Date
      • includeRefDate: boolean

      Returns boolean

init

init: (paymentDate: Date, nominal: Real, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart?: Date, refPeriodEnd?: Date, exCouponDate?: Date) => Coupon

Type declaration

    • (paymentDate: Date, nominal: Real, accrualStartDate: Date, accrualEndDate: Date, refPeriodStart?: Date, refPeriodEnd?: Date, exCouponDate?: Date): Coupon

    • Parameters

      • paymentDate: Date
      • nominal: Real
      • accrualStartDate: Date
      • accrualEndDate: Date
      • Optional refPeriodStart: Date
      • Optional refPeriodEnd: Date
      • Optional exCouponDate: Date

      Returns Coupon

isDisposed

isDisposed: boolean

nominal

nominal: () => Real

Type declaration

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void

    • Returns void

referencePeriodEnd

referencePeriodEnd: () => Date

Type declaration

    • (): Date

    • Returns Date

referencePeriodStart

referencePeriodStart: () => Date

Type declaration

    • (): Date

    • Returns Date

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

tradingExCoupon

tradingExCoupon: () => boolean

Type declaration

    • (): boolean

    • Returns boolean

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void

    • Returns void

Methods

accept

accruedAmount

  • accruedAmount(d: Date): Real

adjustedFixing

  • adjustedFixing(): Rate

amount1

convexityAdjustment

  • convexityAdjustment(): Rate

Protected convexityAdjustmentImpl

  • convexityAdjustmentImpl(fixing: Rate): Rate

dayCounter

dt

  • Returns Time[]

fixingDate

  • fixingDate(): Date

fixingDates

  • fixingDates(): Date[]

  • Returns Date[]

fixingDays

gearing

  • index gearing, i.e. multiplicative coefficient for the index

    Returns Real

index

indexFixing

  • indexFixing(): Rate

indexFixings

  • indexFixings(): Rate[]

  • Returns Rate[]

isInArrears

  • isInArrears(): boolean

  • whether or not the coupon fixes in arrears

    Returns boolean

price

pricer

rate

setPricer

spread

  • spread paid over the fixing of the underlying index

    Returns Spread

update

  • update(): void

valueDates

  • valueDates(): Date[]

  • Returns Date[]