Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
#include <ql/termstructures/yield/oisratehelper.hpp>
Inheritance diagram for OISRateHelper:Public Member Functions | |
| OISRateHelper (Natural settlementDays, const Period &tenor, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool telescopicValueDates=false, Natural paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, const Calendar &paymentCalendar=Calendar(), const Period &forwardStart=0 *Days, const Spread overnightSpread=0.0) | |
RateHelper interface | |
| Real | impliedQuote () const |
| void | setTermStructure (YieldTermStructure *) |
inspectors | |
| boost::shared_ptr< OvernightIndexedSwap > | swap () const |
Visitability | |
| void | accept (AcyclicVisitor &) |
Public Member Functions inherited from RelativeDateBootstrapHelper< TS > | |
| RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
| RelativeDateBootstrapHelper (Real quote) | |
| void | update () |
Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| const Handle< Quote > & | quote () const |
| Real | quoteError () const |
| virtual void | setTermStructure (TS *) |
| sets the term structure to be used for pricing More... | |
| virtual Date | earliestDate () const |
| earliest relevant date More... | |
| virtual Date | maturityDate () const |
| instrument's maturity date | |
| virtual Date | latestRelevantDate () const |
| latest relevant date More... | |
| virtual Date | pillarDate () const |
| pillar date | |
| virtual Date | latestDate () const |
| latest date More... | |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Member Functions | |
| void | initializeDates () |
Protected Attributes | |
| Natural | settlementDays_ |
| Period | tenor_ |
| boost::shared_ptr< OvernightIndex > | overnightIndex_ |
| boost::shared_ptr< OvernightIndexedSwap > | swap_ |
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
| Handle< YieldTermStructure > | discountHandle_ |
| bool | telescopicValueDates_ |
| RelinkableHandle< YieldTermStructure > | discountRelinkableHandle_ |
| Natural | paymentLag_ |
| BusinessDayConvention | paymentConvention_ |
| Frequency | paymentFrequency_ |
| Calendar | paymentCalendar_ |
| Period | forwardStart_ |
| Spread | overnightSpread_ |
Protected Attributes inherited from RelativeDateBootstrapHelper< TS > | |
| Date | evaluationDate_ |
Protected Attributes inherited from BootstrapHelper< TS > | |
| Handle< Quote > | quote_ |
| TS * | termStructure_ |
| Date | earliestDate_ |
| Date | latestDate_ |
| Date | maturityDate_ |
| Date | latestRelevantDate_ |
| Date | pillarDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Rate helper for bootstrapping over Overnight Indexed Swap rates.