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)

Bases: FloatingRateCoupon

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)

accrued_amount(self, Date date)

accrued_days(self, Date date)

accrued_period(self, Date date)

has_occured(self, Date ref_date[, ...])

set_pricer(self, FloatingRateCouponPricer pricer)

Attributes

accrual_days

accrual_end_date

accrual_period

accrual_start_date

adjusted_fixing

amount

convexity_adjustment

date

day_counter

fixing_date

fixing_days

index

index_fixing

nominal

rate

reference_period_end

reference_period_start