helper class More...
#include <ql/experimental/averageois/makearithmeticaverageois.hpp>
Public Member Functions | |
MakeArithmeticAverageOIS (const Period &swapTenor, const boost::shared_ptr< OvernightIndex > &overnightIndex, Rate fixedRate=Null< Rate >(), const Period &fwdStart=0 *Days) | |
operator ArithmeticAverageOIS () const | |
operator boost::shared_ptr< ArithmeticAverageOIS > () const | |
MakeArithmeticAverageOIS & | receiveFixed (bool flag=true) |
MakeArithmeticAverageOIS & | withType (ArithmeticAverageOIS::Type type) |
MakeArithmeticAverageOIS & | withNominal (Real n) |
MakeArithmeticAverageOIS & | withSettlementDays (Natural settlementDays) |
MakeArithmeticAverageOIS & | withEffectiveDate (const Date &) |
MakeArithmeticAverageOIS & | withTerminationDate (const Date &) |
MakeArithmeticAverageOIS & | withRule (DateGeneration::Rule r) |
MakeArithmeticAverageOIS & | withFixedLegPaymentFrequency (Frequency f) |
MakeArithmeticAverageOIS & | withOvernightLegPaymentFrequency (Frequency f) |
MakeArithmeticAverageOIS & | withEndOfMonth (bool flag=true) |
MakeArithmeticAverageOIS & | withFixedLegDayCount (const DayCounter &dc) |
MakeArithmeticAverageOIS & | withOvernightLegSpread (Spread sp) |
MakeArithmeticAverageOIS & | withDiscountingTermStructure (const Handle< YieldTermStructure > &discountingTermStructure) |
MakeArithmeticAverageOIS & | withPricingEngine (const boost::shared_ptr< PricingEngine > &engine) |
MakeArithmeticAverageOIS & | withArithmeticAverage (Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false) |
helper class
This class provides a more comfortable way to instantiate arithemtic average overnight indexed swaps.