OvernightIndexedCrossCcyBasisSwap Class Reference

Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2. More...

#include <qle/instruments/oiccbasisswap.hpp>

Inheritance diagram for OvernightIndexedCrossCcyBasisSwap:

Classes
class	arguments
class	results
class	engine

Public Member Functions
	OvernightIndexedCrossCcyBasisSwap (Real payNominal, Currency payCurrency, const Schedule &paySchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &payIndex, Real paySpread, Real recNominal, Currency recCurrency, const Schedule &recSchedule, const QuantLib::ext::shared_ptr< OvernightIndex > &recIndex, Real recSpread)
Inspectors
Real	payNominal () const
Currency	payCurrency () const
const Schedule &	paySchedule ()
const QuantLib::ext::shared_ptr< OvernightIndex > &	payIndex ()
Real	paySpread () const
Real	recNominal () const
Currency	recCurrency () const
const Schedule &	recSchedule ()
const QuantLib::ext::shared_ptr< OvernightIndex > &	recIndex ()
Real	recSpread () const
const Leg &	payLeg () const
const Leg &	recLeg () const

Results
Real	payLegBPS () const
Real	payLegNPV () const
Real	fairPayLegSpread () const
Real	recLegBPS () const
Real	recLegNPV () const
Spread	fairRecLegSpread () const
void	setupArguments (PricingEngine::arguments *args) const override
void	fetchResults (const PricingEngine::results *) const override

Detailed Description

Basis swap: compounded overnight rate in ccy 1 vs. compounded overnight rate in ccy 2.