quantlib.instruments.overnightindexedswap.OvernightIndexedSwap¶
- class OvernightIndexedSwap(Type swap_type, nominal, Schedule schedule, Rate fixed_rate, DayCounter fixed_dc, OvernightIndex overnight_index, Spread spread=0.0, Natural payment_lag=0, BusinessDayConvention payment_adjustment=Following, Calendar payment_calendar=Calendar(), bool telescopic_value_dates=False, RateAveraging averaging_method=RateAveraging.Compound)¶
Bases:
FixedVsFloatingSwap
Overnight indexed swap: fix vs compounded overnight rate
- __init__(*args, **kwargs)¶
Methods
__init__
(*args, **kwargs)endDiscounts
(self, Size j)leg
(self, int i)leg_BPS
(self, Size j)leg_NPV
(self, Size j)npv_date_discount
(self)set_pricing_engine
(self, PricingEngine engine)Sets the pricing engine.
startDiscounts
(self, Size j)Attributes
Payer
Receiver
averaging_method
fair_rate
fair_spread
fixed_day_count
fixed_leg
fixed_leg_BPS
fixed_leg_NPV
fixed_rate
fixed_schedule
floating_day_count
floating_leg
floating_leg_BPS
floating_leg_NPV
floating_schedule
is_expired
maturity_date
net_present_value
Instrument net present value.
nominal
nominals
npv
Shortcut to the net_present_value property.
overnight_index
overnight_leg
overnight_leg_BPS
overnight_leg_NPV
payment_frequency
spread
start_date
type
valuation_date