Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class ArithmeticAverageOIS

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.Swap

org.quantlib.ArithmeticAverageOIS

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class ArithmeticAverageOIS
extends Swap
implements org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Nested Class Summary

Nested classes/interfaces inherited from class org.quantlib.Swap

Swap.Type

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	ArithmeticAverageOIS(long cPtr, boolean cMemoryOwn)
	ArithmeticAverageOIS(Swap.Type type, double nominal, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule)
	ArithmeticAverageOIS(Swap.Type type, double nominal, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread)
	ArithmeticAverageOIS(Swap.Type type, double nominal, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed)
	ArithmeticAverageOIS(Swap.Type type, double nominal, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed, double volatility)
	ArithmeticAverageOIS(Swap.Type type, double nominal, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed, double volatility, boolean byApprox)
	ArithmeticAverageOIS(Swap.Type type, DoubleVector nominals, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule)
	ArithmeticAverageOIS(Swap.Type type, DoubleVector nominals, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread)
	ArithmeticAverageOIS(Swap.Type type, DoubleVector nominals, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed)
	ArithmeticAverageOIS(Swap.Type type, DoubleVector nominals, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed, double volatility)
	ArithmeticAverageOIS(Swap.Type type, DoubleVector nominals, Schedule fixedLegSchedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, Schedule overnightLegSchedule, double spread, double meanReversionSpeed, double volatility, boolean byApprox)

Method Summary

Modifier and Type	Method	Description
void	delete()
double	fairRate()
double	fairSpread()
protected void	finalize()
DayCounter	fixedDayCount()
Leg	fixedLeg()
double	fixedLegBPS()
double	fixedLegNPV()
Frequency	fixedLegPaymentFrequency()
double	fixedRate()
protected static long	getCPtr(ArithmeticAverageOIS obj)
double	nominal()
DoubleVector	nominals()
OvernightIndex	overnightIndex()
Leg	overnightLeg()
double	overnightLegBPS()
double	overnightLegNPV()
Frequency	overnightLegPaymentFrequency()
double	spread()
protected void	swigSetCMemOwn(boolean own)
Swap.Type	type()

Methods inherited from class org.quantlib.Swap

endDiscounts, getCPtr, leg, legBPS, legNPV, maturityDate, npvDateDiscount, numberOfLegs, payer, startDate, startDiscounts

Methods inherited from class org.quantlib.Instrument

errorEstimate, getCPtr, isExpired, NPV, setPricingEngine

Methods inherited from class org.quantlib.LazyObject

alwaysForwardNotifications, forwardFirstNotificationOnly, forwardsAllNotifications, freeze, getCPtr, recalculate, unfreeze

Methods inherited from class org.quantlib.Observable

getCPtr

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

close

Constructor Detail

ArithmeticAverageOIS

protected ArithmeticAverageOIS(long cPtr,
                               boolean cMemoryOwn)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            double nominal,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed,
                            double volatility,
                            boolean byApprox)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            double nominal,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed,
                            double volatility)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            double nominal,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            double nominal,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            double nominal,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            DoubleVector nominals,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed,
                            double volatility,
                            boolean byApprox)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            DoubleVector nominals,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed,
                            double volatility)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            DoubleVector nominals,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread,
                            double meanReversionSpeed)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            DoubleVector nominals,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule,
                            double spread)

ArithmeticAverageOIS

public ArithmeticAverageOIS(Swap.Type type,
                            DoubleVector nominals,
                            Schedule fixedLegSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex overnightIndex,
                            Schedule overnightLegSchedule)

Method Detail

getCPtr

protected static long getCPtr(ArithmeticAverageOIS obj)

swigSetCMemOwn

protected void swigSetCMemOwn(boolean own)

Overrides:

swigSetCMemOwn in class Swap

finalize

protected void finalize()

Overrides:

finalize in class Swap

delete

public void delete()

Specified by:

delete in interface org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

Overrides:

delete in class Swap

type

public Swap.Type type()

nominal

public double nominal()

nominals

public DoubleVector nominals()

fixedLegPaymentFrequency

public Frequency fixedLegPaymentFrequency()

overnightLegPaymentFrequency

public Frequency overnightLegPaymentFrequency()

fixedRate

public double fixedRate()

fixedDayCount

public DayCounter fixedDayCount()

overnightIndex

public OvernightIndex overnightIndex()

spread

public double spread()

fixedLeg

public Leg fixedLeg()

overnightLeg

public Leg overnightLeg()

fixedLegBPS

public double fixedLegBPS()

fixedLegNPV

public double fixedLegNPV()

fairRate

public double fairRate()

overnightLegBPS

public double overnightLegBPS()

overnightLegNPV

public double overnightLegNPV()

fairSpread

public double fairSpread()