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"ql/instruments/makeois"
MakeOIS
Class MakeOIS
helper class
This class provides a more comfortable way to instantiate overnight indexed swaps.
Hierarchy
MakeOIS
Implements
NullaryFunction
<
OvernightIndexedSwap
>
Index
Constructors
constructor
Properties
_calendar
_effective
Date
_end
OfMonth
_engine
_fixed
Day
Count
_fixed
Rate
_forward
Start
_is
DefaultEOM
_nominal
_overnight
Index
_overnight
Spread
_payment
Adjustment
_payment
Calendar
_payment
Frequency
_payment
Lag
_rule
_settlement
Days
_swap
Tenor
_telescopic
Value
Dates
_termination
Date
_type
Methods
f
receive
Fixed
with
Discounting
Term
Structure
with
Effective
Date
with
End
OfMonth
with
Fixed
Leg
Day
Count
with
Nominal
with
Overnight
Leg
Spread
with
Payment
Adjustment
with
Payment
Calendar
with
Payment
Frequency
with
Payment
Lag
with
Pricing
Engine
with
Rule
with
Settlement
Days
with
Telescopic
Value
Dates
with
Termination
Date
with
Type
Constructors
constructor
new
MakeOIS
(
swapTenor
:
Period
, overnightIndex
:
OvernightIndex
, fixedRate
?:
Rate
, forwardStart
?:
Period
)
:
MakeOIS
Parameters
swapTenor:
Period
overnightIndex:
OvernightIndex
Default value
fixedRate:
Rate
= QL_NULL_REAL
Default value
forwardStart:
Period
= new Period().init1(0, TimeUnit.Days)
Returns
MakeOIS
Properties
Private
_calendar
_calendar
:
Calendar
Private
_effective
Date
_effective
Date
:
Date
Private
_end
OfMonth
_end
OfMonth
:
boolean
Private
_engine
_engine
:
PricingEngine
Private
_fixed
Day
Count
_fixed
Day
Count
:
DayCounter
Private
_fixed
Rate
_fixed
Rate
:
Rate
Private
_forward
Start
_forward
Start
:
Period
Private
_is
DefaultEOM
_is
DefaultEOM
:
boolean
Private
_nominal
_nominal
:
Real
Private
_overnight
Index
_overnight
Index
:
OvernightIndex
Private
_overnight
Spread
_overnight
Spread
:
Spread
Private
_payment
Adjustment
_payment
Adjustment
:
BusinessDayConvention
Private
_payment
Calendar
_payment
Calendar
:
Calendar
Private
_payment
Frequency
_payment
Frequency
:
Frequency
Private
_payment
Lag
_payment
Lag
:
Natural
Private
_rule
_rule
:
Rule
Private
_settlement
Days
_settlement
Days
:
Natural
Private
_swap
Tenor
_swap
Tenor
:
Period
Private
_telescopic
Value
Dates
_telescopic
Value
Dates
:
boolean
Private
_termination
Date
_termination
Date
:
Date
Private
_type
_type
:
Type
Methods
f
f
(
)
:
OvernightIndexedSwap
Returns
OvernightIndexedSwap
receive
Fixed
receive
Fixed
(
flag
?:
boolean
)
:
MakeOIS
Parameters
Default value
flag:
boolean
= true
Returns
MakeOIS
with
Discounting
Term
Structure
with
Discounting
Term
Structure
(
d
:
Handle
<
YieldTermStructure
>
)
:
MakeOIS
Parameters
d:
Handle
<
YieldTermStructure
>
Returns
MakeOIS
with
Effective
Date
with
Effective
Date
(
effectiveDate
:
Date
)
:
MakeOIS
Parameters
effectiveDate:
Date
Returns
MakeOIS
with
End
OfMonth
with
End
OfMonth
(
flag
?:
boolean
)
:
MakeOIS
Parameters
Default value
flag:
boolean
= true
Returns
MakeOIS
with
Fixed
Leg
Day
Count
with
Fixed
Leg
Day
Count
(
dc
:
DayCounter
)
:
MakeOIS
Parameters
dc:
DayCounter
Returns
MakeOIS
with
Nominal
with
Nominal
(
n
:
Real
)
:
MakeOIS
Parameters
n:
Real
Returns
MakeOIS
with
Overnight
Leg
Spread
with
Overnight
Leg
Spread
(
sp
:
Spread
)
:
MakeOIS
Parameters
sp:
Spread
Returns
MakeOIS
with
Payment
Adjustment
with
Payment
Adjustment
(
convention
:
BusinessDayConvention
)
:
MakeOIS
Parameters
convention:
BusinessDayConvention
Returns
MakeOIS
with
Payment
Calendar
with
Payment
Calendar
(
cal
:
Calendar
)
:
MakeOIS
Parameters
cal:
Calendar
Returns
MakeOIS
with
Payment
Frequency
with
Payment
Frequency
(
f
:
Frequency
)
:
MakeOIS
Parameters
f:
Frequency
Returns
MakeOIS
with
Payment
Lag
with
Payment
Lag
(
lag
:
Natural
)
:
MakeOIS
Parameters
lag:
Natural
Returns
MakeOIS
with
Pricing
Engine
with
Pricing
Engine
(
engine
:
PricingEngine
)
:
MakeOIS
Parameters
engine:
PricingEngine
Returns
MakeOIS
with
Rule
with
Rule
(
r
:
Rule
)
:
MakeOIS
Parameters
r:
Rule
Returns
MakeOIS
with
Settlement
Days
with
Settlement
Days
(
settlementDays
:
Natural
)
:
MakeOIS
Parameters
settlementDays:
Natural
Returns
MakeOIS
with
Telescopic
Value
Dates
with
Telescopic
Value
Dates
(
telescopicValueDates
:
boolean
)
:
MakeOIS
Parameters
telescopicValueDates:
boolean
Returns
MakeOIS
with
Termination
Date
with
Termination
Date
(
terminationDate
:
Date
)
:
MakeOIS
Parameters
terminationDate:
Date
Returns
MakeOIS
with
Type
with
Type
(
type
:
Type
)
:
MakeOIS
Parameters
type:
Type
Returns
MakeOIS
Globals
"ql/instruments/makeois"
MakeOIS
constructor
_calendar
_effective
Date
_end
OfMonth
_engine
_fixed
Day
Count
_fixed
Rate
_forward
Start
_is
DefaultEOM
_nominal
_overnight
Index
_overnight
Spread
_payment
Adjustment
_payment
Calendar
_payment
Frequency
_payment
Lag
_rule
_settlement
Days
_swap
Tenor
_telescopic
Value
Dates
_termination
Date
_type
f
receive
Fixed
with
Discounting
Term
Structure
with
Effective
Date
with
End
OfMonth
with
Fixed
Leg
Day
Count
with
Nominal
with
Overnight
Leg
Spread
with
Payment
Adjustment
with
Payment
Calendar
with
Payment
Frequency
with
Payment
Lag
with
Pricing
Engine
with
Rule
with
Settlement
Days
with
Telescopic
Value
Dates
with
Termination
Date
with
Type
helper class
This class provides a more comfortable way to instantiate overnight indexed swaps.