QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
MakeOIS Class Reference

helper class More...

#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
 
MakeOISreceiveFixed (bool flag=true)
 
MakeOISwithType (OvernightIndexedSwap::Type type)
 
MakeOISwithNominal (Real n)
 
MakeOISwithSettlementDays (Natural settlementDays)
 
MakeOISwithEffectiveDate (const Date &)
 
MakeOISwithTerminationDate (const Date &)
 
MakeOISwithRule (DateGeneration::Rule r)
 
MakeOISwithPaymentFrequency (Frequency f)
 
MakeOISwithPaymentAdjustment (BusinessDayConvention convention)
 
MakeOISwithPaymentLag (Natural lag)
 
MakeOISwithPaymentCalendar (const Calendar &cal)
 
MakeOISwithEndOfMonth (bool flag=true)
 
MakeOISwithFixedLegDayCount (const DayCounter &dc)
 
MakeOISwithOvernightLegSpread (Spread sp)
 
MakeOISwithDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure)
 
MakeOISwithTelescopicValueDates (bool telescopicValueDates)
 
MakeOISwithPricingEngine (const boost::shared_ptr< PricingEngine > &engine)
 

Detailed Description

helper class

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