Module io.github.ralfkonrad.quantlib

Package org.quantlib

Class OvernightIndexedSwap

java.lang.Object

org.quantlib.Observable

org.quantlib.LazyObject

org.quantlib.Instrument

org.quantlib.Swap

org.quantlib.OvernightIndexedSwap

All Implemented Interfaces:

AutoCloseable, org.quantlib.helpers.QuantLibJNIHelpers.AutoCloseable

public class OvernightIndexedSwap
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	OvernightIndexedSwap(long cPtr, boolean cMemoryOwn)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates)
	OvernightIndexedSwap(Swap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread, long paymentLag)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread, long paymentLag, BusinessDayConvention paymentAdjustment)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates)
	OvernightIndexedSwap(Swap.Type type, DoubleVector fixedNominals, Schedule fixedSchedule, double fixedRate, DayCounter fixedDC, DoubleVector overnightNominals, Schedule overnightSchedule, OvernightIndex overnightIndex, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates)
	OvernightIndexedSwap(Swap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, long paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, boolean telescopicValueDates, RateAveraging.Type averagingMethod)

Method Summary

Modifier and Type	Method	Description
RateAveraging.Type	averagingMethod()
void	delete()
double	fairRate()
double	fairSpread()
protected void	finalize()
DayCounter	fixedDayCount()
Leg	fixedLeg()
double	fixedLegBPS()
double	fixedLegNPV()
double	fixedRate()
protected static long	getCPtr(OvernightIndexedSwap obj)
double	nominal()
DoubleVector	nominals()
OvernightIndex	overnightIndex()
Leg	overnightLeg()
double	overnightLegBPS()
double	overnightLegNPV()
Frequency	paymentFrequency()
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

OvernightIndexedSwap

protected OvernightIndexedSwap(long cPtr,
                               boolean cMemoryOwn)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates,
                            RateAveraging.Type averagingMethod)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            double nominal,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates,
                            RateAveraging.Type averagingMethod)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread,
                            long paymentLag)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index,
                            double spread)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector nominals,
                            Schedule schedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            OvernightIndex index)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates,
                            RateAveraging.Type averagingMethod)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar,
                            boolean telescopicValueDates)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment,
                            Calendar paymentCalendar)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread,
                            long paymentLag,
                            BusinessDayConvention paymentAdjustment)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread,
                            long paymentLag)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex,
                            double spread)

OvernightIndexedSwap

public OvernightIndexedSwap(Swap.Type type,
                            DoubleVector fixedNominals,
                            Schedule fixedSchedule,
                            double fixedRate,
                            DayCounter fixedDC,
                            DoubleVector overnightNominals,
                            Schedule overnightSchedule,
                            OvernightIndex overnightIndex)

Method Detail

getCPtr

protected static long getCPtr(OvernightIndexedSwap 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

fixedLegBPS

public double fixedLegBPS()

fixedLegNPV

public double fixedLegNPV()

fairRate

public double fairRate()

overnightLegBPS

public double overnightLegBPS()

overnightLegNPV

public double overnightLegNPV()

fairSpread

public double fairSpread()

type

public Swap.Type type()

nominal

public double nominal()

nominals

public DoubleVector nominals()

paymentFrequency

public Frequency paymentFrequency()

fixedRate

public double fixedRate()

fixedDayCount

public DayCounter fixedDayCount()

overnightIndex

public OvernightIndex overnightIndex()

spread

public double spread()

fixedLeg

public Leg fixedLeg()

overnightLeg

public Leg overnightLeg()

averagingMethod

public RateAveraging.Type averagingMethod()