Class OvernightLeg

Hierarchy

OvernightLeg

Implements

NullaryFunction<Leg>

Index

Constructors

constructor

new OvernightLeg(schedule: Schedule, overnightIndex: OvernightIndex): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:174
Parameters
- schedule: Schedule
- overnightIndex: OvernightIndex
Returns OvernightLeg

Properties

Private _gearings

_gearings: Real[] = []

Private _notionals

_notionals: Real[] = []

Private _overnightIndex

_overnightIndex: OvernightIndex

Private _paymentAdjustment

_paymentAdjustment: BusinessDayConvention

Private _paymentCalendar

_paymentCalendar: Calendar

Private _paymentDayCounter

_paymentDayCounter: DayCounter

Private _paymentLag

_paymentLag: Natural

Private _schedule

_schedule: Schedule

Private _spreads

_spreads: Spread[] = []

Private _telescopicValueDates

_telescopicValueDates: boolean

Methods

f

f(): Leg

Implementation of NullaryFunction.f
- Defined in ql/cashflows/overnightindexedcoupon.ts:239
Returns Leg

withGearings1

withGearings1(gearing: Real): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:214
Parameters
- gearing: Real
Returns OvernightLeg

withGearings2

withGearings2(gearings: Real[]): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:219
Parameters
- gearings: Real[]
Returns OvernightLeg

withNotionals1

withNotionals1(notional: Real): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:184
Parameters
- notional: Real
Returns OvernightLeg

withNotionals2

withNotionals2(notionals: Real[]): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:189
Parameters
- notionals: Real[]
Returns OvernightLeg

withPaymentAdjustment

withPaymentAdjustment(convention: BusinessDayConvention): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:199
Parameters
- convention: BusinessDayConvention
Returns OvernightLeg

withPaymentCalendar

withPaymentCalendar(cal: Calendar): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:204
Parameters
- cal: Calendar
Returns OvernightLeg

withPaymentDayCounter

withPaymentDayCounter(dc: DayCounter): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:194
Parameters
- dc: DayCounter
Returns OvernightLeg

withPaymentLag

withPaymentLag(lag: Natural): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:209
Parameters
- lag: Natural
Returns OvernightLeg

withSpreads1

withSpreads1(spread: Spread): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:224
Parameters
- spread: Spread
Returns OvernightLeg

withSpreads2

withSpreads2(spreads: Spread[]): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:229
Parameters
- spreads: Spread[]
Returns OvernightLeg

withTelescopicValueDates

withTelescopicValueDates(telescopicValueDates: boolean): OvernightLeg

- Defined in ql/cashflows/overnightindexedcoupon.ts:234
Parameters
- telescopicValueDates: boolean
Returns OvernightLeg