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Class MakeArithmeticAverageOIS

helper class

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

Hierarchy

  • MakeArithmeticAverageOIS

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

  • Parameters

    • swapTenor: Period
    • overnightIndex: OvernightIndex
    • Default value fixedRate: Rate = QL_NULL_REAL
    • Default value forwardStart: Period = new Period().init1(0, TimeUnit.Days)

    Returns MakeArithmeticAverageOIS

Properties

Private _byApprox

_byApprox: boolean

Private _calendar

_calendar: Calendar

Private _effectiveDate

_effectiveDate: Date

Private _endOfMonth

_endOfMonth: boolean

Private _engine

_engine: PricingEngine

Private _fixedDayCount

_fixedDayCount: DayCounter

Private _fixedLegPaymentFrequency

_fixedLegPaymentFrequency: Frequency

Private _fixedRate

_fixedRate: Rate

Private _forwardStart

_forwardStart: Period

Private _isDefaultEOM

_isDefaultEOM: boolean

Private _mrs

_mrs: Real

Private _nominal

_nominal: Real

Private _overnightIndex

_overnightIndex: OvernightIndex

Private _overnightLegPaymentFrequency

_overnightLegPaymentFrequency: Frequency

Private _overnightSpread

_overnightSpread: Spread

Private _rule

_rule: Rule

Private _settlementDays

_settlementDays: Natural

Private _swapTenor

_swapTenor: Period

Private _terminationDate

_terminationDate: Date

Private _type

_type: Type

Private _vol

_vol: Real

Methods

f

receiveFixed

  • Parameters

    • Default value flag: boolean = true

    Returns MakeArithmeticAverageOIS

withArithmeticAverage

  • Parameters

    • Default value meanReversionSpeed: Real = 0.03
    • Default value volatility: Real = 0
    • Default value byApprox: boolean = false

    Returns MakeArithmeticAverageOIS

withDiscountingTermStructure

withEffectiveDate

  • Parameters

    • effectiveDate: Date

    Returns MakeArithmeticAverageOIS

withEndOfMonth

  • Parameters

    • Default value flag: boolean = true

    Returns MakeArithmeticAverageOIS

withFixedLegDayCount

withFixedLegPaymentFrequency

withNominal

withOvernightLegPaymentFrequency

withOvernightLegSpread

withPricingEngine

withRule

withSettlementDays

withTerminationDate

  • Parameters

    • terminationDate: Date

    Returns MakeArithmeticAverageOIS

withType