Uses of Class
org.quantlib.OvernightIndex

Uses of OvernightIndex in org.quantlib

Subclasses of OvernightIndex in org.quantlib

Modifier and Type	Class	Description
class	Aonia
class	Corra
class	Destr
class	Eonia
class	Estr
class	FedFunds
class	Nzocr
class	Sofr
class	Sonia
class	Swestr

Methods in org.quantlib that return OvernightIndex

Modifier and Type	Method	Description
OvernightIndex	OvernightIndex.clone(YieldTermStructureHandle h)
OvernightIndex	ArithmeticAverageOIS.overnightIndex()
OvernightIndex	OvernightIndexedSwap.overnightIndex()
OvernightIndex	OvernightIndexedSwapIndex.overnightIndex()

Methods in org.quantlib with parameters of type OvernightIndex

Modifier and Type	Method	Description
protected static long	OvernightIndex.getCPtr(OvernightIndex obj)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings, DoubleVector spreads)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings, DoubleVector spreads, boolean telescopicValueDates)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings, DoubleVector spreads, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings, DoubleVector spreads, boolean telescopicValueDates, RateAveraging.Type averagingMethod, Calendar paymentCalendar)
static Leg	QuantLib.OvernightLeg(DoubleVector nominals, Schedule schedule, OvernightIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, DoubleVector gearings, DoubleVector spreads, boolean telescopicValueDates, RateAveraging.Type averagingMethod, Calendar paymentCalendar, long paymentLag)

Constructors in org.quantlib with parameters of type OvernightIndex

Constructor	Description
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)
ArithmeticOISRateHelper(long settlementDays, Period tenor, Frequency fixedLegPaymentFrequency, QuoteHandle fixedRate, OvernightIndex overnightIndex, Frequency overnightLegPaymentFrequency, QuoteHandle spread)
ArithmeticOISRateHelper(long settlementDays, Period tenor, Frequency fixedLegPaymentFrequency, QuoteHandle fixedRate, OvernightIndex overnightIndex, Frequency overnightLegPaymentFrequency, QuoteHandle spread, double meanReversionSpeed)
ArithmeticOISRateHelper(long settlementDays, Period tenor, Frequency fixedLegPaymentFrequency, QuoteHandle fixedRate, OvernightIndex overnightIndex, Frequency overnightLegPaymentFrequency, QuoteHandle spread, double meanReversionSpeed, double volatility)
ArithmeticOISRateHelper(long settlementDays, Period tenor, Frequency fixedLegPaymentFrequency, QuoteHandle fixedRate, OvernightIndex overnightIndex, Frequency overnightLegPaymentFrequency, QuoteHandle spread, double meanReversionSpeed, double volatility, boolean byApprox)
ArithmeticOISRateHelper(long settlementDays, Period tenor, Frequency fixedLegPaymentFrequency, QuoteHandle fixedRate, OvernightIndex overnightIndex, Frequency overnightLegPaymentFrequency, QuoteHandle spread, double meanReversionSpeed, double volatility, boolean byApprox, YieldTermStructureHandle discountingCurve)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread)
DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, RateAveraging.Type averagingMethod, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread, OptionalBool endOfMonth)
EquityTotalReturnSwap(Swap.Type type, double nominal, Schedule schedule, EquityIndex equityIndex, OvernightIndex interestRateIndex, DayCounter dayCounter, double margin)
EquityTotalReturnSwap(Swap.Type type, double nominal, Schedule schedule, EquityIndex equityIndex, OvernightIndex interestRateIndex, DayCounter dayCounter, double margin, double gearing)
EquityTotalReturnSwap(Swap.Type type, double nominal, Schedule schedule, EquityIndex equityIndex, OvernightIndex interestRateIndex, DayCounter dayCounter, double margin, double gearing, Calendar paymentCalendar)
EquityTotalReturnSwap(Swap.Type type, double nominal, Schedule schedule, EquityIndex equityIndex, OvernightIndex interestRateIndex, DayCounter dayCounter, double margin, double gearing, Calendar paymentCalendar, BusinessDayConvention paymentConvention)
EquityTotalReturnSwap(Swap.Type type, double nominal, Schedule schedule, EquityIndex equityIndex, OvernightIndex interestRateIndex, DayCounter dayCounter, double margin, double gearing, Calendar paymentCalendar, BusinessDayConvention paymentConvention, long paymentDelay)
MakeOIS(Period swapTenor, OvernightIndex overnightIndex)
MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double fixedRate)
MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double fixedRate, Period fwdStart)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread, Pillar.Choice pillar)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread, Pillar.Choice pillar, Date customPillarDate)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread, Pillar.Choice pillar, Date customPillarDate, RateAveraging.Type averagingMethod)
OISRateHelper(long settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, boolean telescopicValueDates, long paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, Calendar paymentCalendar, Period forwardStart, double overnightSpread, Pillar.Choice pillar, Date customPillarDate, RateAveraging.Type averagingMethod, OptionalBool endOfMonth)
OvernightIborBasisSwapRateHelper(QuoteHandle basis, Period tenor, long settlementDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, OvernightIndex baseIndex, IborIndex otherIndex)
OvernightIborBasisSwapRateHelper(QuoteHandle basis, Period tenor, long settlementDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, OvernightIndex baseIndex, IborIndex otherIndex, YieldTermStructureHandle discountHandle)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread, Date refPeriodStart)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, boolean telescopicValueDates)
OvernightIndexedCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, OvernightIndex overnightIndex, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
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)
OvernightIndexedSwapIndex(String familyName, Period tenor, long settlementDays, Currency currency, OvernightIndex overnightIndex)
OvernightIndexedSwapIndex(String familyName, Period tenor, long settlementDays, Currency currency, OvernightIndex overnightIndex, boolean telescopicValueDates)
OvernightIndexedSwapIndex(String familyName, Period tenor, long settlementDays, Currency currency, OvernightIndex overnightIndex, boolean telescopicValueDates, RateAveraging.Type averagingMethod)
OvernightIndexFuture(OvernightIndex overnightIndex, Date valueDate, Date maturityDate)
OvernightIndexFuture(OvernightIndex overnightIndex, Date valueDate, Date maturityDate, QuoteHandle convexityAdjustment)
OvernightIndexFuture(OvernightIndex overnightIndex, Date valueDate, Date maturityDate, QuoteHandle convexityAdjustment, RateAveraging.Type averagingMethod)
OvernightIndexFutureRateHelper(QuoteHandle price, Date valueDate, Date maturityDate, OvernightIndex index)
OvernightIndexFutureRateHelper(QuoteHandle price, Date valueDate, Date maturityDate, OvernightIndex index, QuoteHandle convexityAdjustment)
OvernightIndexFutureRateHelper(QuoteHandle price, Date valueDate, Date maturityDate, OvernightIndex index, QuoteHandle convexityAdjustment, RateAveraging.Type averagingMethod)