quantlib.cashflows.overnight_indexed_coupon.
OvernightIndexedCoupon¶
- class OvernightIndexedCoupon(Date payment_date, Real nominal, Date start_date, Date end_date, OvernightIndex index, Real gearing=1., Spread spread=0., Date ref_period_start=Date(), Date ref_period_end=Date(), DayCounter day_counter=DayCounter(), bool telescopic_values=False, RateAveraging averaging_method=RateAveraging.Compound, Natural lookback_days=Null[Natural](), Natural lockout_days=0, bool apply_observation_shift=False)¶
Bases:
FloatingRateCoupon- Attributes:
- accrual_days
- accrual_end_date
- accrual_period
- accrual_start_date
- adjusted_fixing
- amount
- apply_observation_shift
- averaging_method
- convexity_adjustment
- date
- day_counter
- fixing_date
- fixing_days
- index
- index_fixing
- is_in_arrears
- lockout_days
- nominal
- rate
- reference_period_end
- reference_period_start
Methods
accrued_amount(self, Date date)accrued_days(self, Date date)accrued_period(self, Date date)dt(self)fixing_dates(self)has_occured(self, Date ref_date[, ...])index_fixings(self)set_pricer(self, FloatingRateCouponPricer pricer)value_dates(self)