quantlib.instruments.overnightindexedswap.

OvernightIndexedSwap

class OvernightIndexedSwap(Type swap_type, nominal, Schedule fixed_schedule, Rate fixed_rate, DayCounter fixed_dc, Schedule overnight_schedule, OvernightIndex overnight_index, Spread spread=0.0, Integer payment_lag=0, BusinessDayConvention payment_adjustment=Following, Calendar payment_calendar=Calendar(), bool telescopic_value_dates=False, RateAveraging averaging_method=RateAveraging.Compound, Natural lookback_days=Null[Natural](), Natural lockout_days=0, bool apply_observation_shift=False)

Bases: FixedVsFloatingSwap

Overnight indexed swap: fix vs compounded overnight rate

Attributes:

averaging_method

error_estimate

Instrument.error_estimate: Real

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

Instrument.is_expired: bool

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

the date the net present value refers to.

Methods

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)