Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
#include <ql/termstructures/yield/oisratehelper.hpp>
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 &) |
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RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
RelativeDateBootstrapHelper (Real quote) | |
void | update () |
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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... | |
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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 () |
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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_ |
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Date | evaluationDate_ |
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Handle< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Additional Inherited Members | |
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typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Rate helper for bootstrapping over Overnight Indexed Swap rates.