Overnight Indexed Swap

Overview

functions to construct and use OvernightIndexedSwap objects.

Function List

qlMakeDatedOIS ()
qlMakeOIS ()
qlOvernightIndexedSwap ()
qlOvernightIndexedSwapFairRate ()
qlOvernightIndexedSwapFairSpread ()
qlOvernightIndexedSwapFixedDayCount ()
qlOvernightIndexedSwapFixedLegAnalysis ()
qlOvernightIndexedSwapFixedLegBPS ()
qlOvernightIndexedSwapFixedLegNPV ()
qlOvernightIndexedSwapFixedRate ()
qlOvernightIndexedSwapFromOISRateHelper ()
qlOvernightIndexedSwapNominal ()
qlOvernightIndexedSwapOvernightLegAnalysis ()
qlOvernightIndexedSwapOvernightLegBPS ()
qlOvernightIndexedSwapOvernightLegNPV ()
qlOvernightIndexedSwapSpread ()
qlOvernightIndexedSwapType ()

Function Documentation

qlMakeDatedOIS

string returnValue
 
qlMakeDatedOIS(
        string ObjectId
        long StartDate
        long EndDate
        string OvernightIndex
        double FixedRate
        string FixDayCounter
        double Spread
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OvernightIndexedSwap and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
StartDate	ois start date. If missing first ECB date is used. Default value = QuantLib::Date().
EndDate	ois end date. If missing first ECB date after start date is used. Default value = QuantLib::Date().
OvernightIndex	OvernightIndex object ID.
FixedRate	the fixed leg rate. If missing atm rate is used. Default value = QuantLib::Null<QuantLib::Rate>().
FixDayCounter	fixed leg day counter. Default value = Actual/360.
Spread	the spread in the overnight leg rate. Default value = 0.0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlMakeOIS

string returnValue
 
qlMakeOIS(
        string ObjectId
        long SettlDays
        string SwapTenor
        string OvernightIndex
        double FixedRate
        string ForwardStart
        string FixDayCounter
        double Spread
        long PaymentLag
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OvernightIndexedSwap and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
SettlDays	Number of days to spot date. Default value = 2.
SwapTenor	swap tenor period (e.g. 5Y).
OvernightIndex	OvernightIndex object ID.
FixedRate	the fixed leg rate. If missing atm rate is used. Default value = QuantLib::Null<QuantLib::Rate>().
ForwardStart	forward start period (from spot date).
FixDayCounter	fixed leg day counter. Default value = Actual/360.
Spread	the spread in the overnight leg rate. Default value = 0.0.
PaymentLag	Lag to payment Default value = 0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOvernightIndexedSwap

string returnValue
 
qlOvernightIndexedSwap(
        string ObjectId
        string PayerReceiver
        vector<double> Nominal
        string Schedule
        double FixedRate
        string FixDayCounter
        string OvernightIndex
        double Spread
        long PaymentLag
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OvernightIndexedSwap and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
PayerReceiver	PAYER to pay the fixed rate, RECEIVER to receive it. Default value = Payer.
Nominal	Notional Amount. Default value = 100.
Schedule	Schedule object ID.
FixedRate	the fixed leg rate. Default value = 0.0.
FixDayCounter	fixed leg day counter (e.g. Actual/360).
OvernightIndex	overnight leg OvernightIndex object ID.
Spread	overnight leg spread. Default value = 0.0.
PaymentLag	Lag to payment Default value = 0.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOvernightIndexedSwapFairRate

double returnValue
 
qlOvernightIndexedSwapFairRate(
        string ObjectId
        any Trigger)

Description:

returns the fair fixed leg rate which would zero the swap NPV for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFairSpread

double returnValue
 
qlOvernightIndexedSwapFairSpread(
        string ObjectId
        any Trigger)

Description:

returns the fair spread over the overnight rate which would zero the swap NPV for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFixedDayCount

string returnValue
 
qlOvernightIndexedSwapFixedDayCount(
        string ObjectId
        any Trigger)

Description:

returns the fixed rate day count convention for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFixedLegAnalysis

vector<vector<any> > returnValue
 
qlOvernightIndexedSwapFixedLegAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

returns the fixed rate leg cash flow analysis of the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::OvernightIndexedSwap object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFixedLegBPS

double returnValue
 
qlOvernightIndexedSwapFixedLegBPS(
        string ObjectId
        any Trigger)

Description:

returns the BPS of the fixed rate leg for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFixedLegNPV

double returnValue
 
qlOvernightIndexedSwapFixedLegNPV(
        string ObjectId
        any Trigger)

Description:

returns the NPV of the fixed rate leg for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFixedRate

double returnValue
 
qlOvernightIndexedSwapFixedRate(
        string ObjectId
        any Trigger)

Description:

returns the fixed rate for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapFromOISRateHelper

string returnValue
 
qlOvernightIndexedSwapFromOISRateHelper(
        string ObjectId
        string OISRateHelper
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class OvernightIndexedSwap and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
OISRateHelper	OISRateHelper object ID.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlOvernightIndexedSwapNominal

double returnValue
 
qlOvernightIndexedSwapNominal(
        string ObjectId
        any Trigger)

Description:

returns the swap nominal for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapOvernightLegAnalysis

vector<vector<any> > returnValue
 
qlOvernightIndexedSwapOvernightLegAnalysis(
        string ObjectId
        long AfterDate
        any Trigger)

Description:

returns the overnight rate leg cash flow analysis.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLibAddin::OvernightIndexedSwap object
AfterDate	Shows only cashflows after given date Default value = QuantLib::Date().
Trigger	dependency tracking trigger

qlOvernightIndexedSwapOvernightLegBPS

double returnValue
 
qlOvernightIndexedSwapOvernightLegBPS(
        string ObjectId
        any Trigger)

Description:

returns the BPS of the overnight rate leg for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapOvernightLegNPV

double returnValue
 
qlOvernightIndexedSwapOvernightLegNPV(
        string ObjectId
        any Trigger)

Description:

returns the NPV of the overnight rate leg for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapSpread

double returnValue
 
qlOvernightIndexedSwapSpread(
        string ObjectId
        any Trigger)

Description:

returns the spread over overnight rate for the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger

qlOvernightIndexedSwapType

string returnValue
 
qlOvernightIndexedSwapType(
        string ObjectId
        any Trigger)

Description:

returns the swap type (Payer or Receiver) of the given OvernightIndexedSwap object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::OvernightIndexedSwap object
Trigger	dependency tracking trigger