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 >()) | |
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 | |
virtual Date | earliestDate () const |
earliest relevant date | |
virtual Date | latestDate () const |
latest relevant date | |
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Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
Size | unregisterWith (const boost::shared_ptr< Observable > &) |
void | unregisterWithAll () |
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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_ |
RelinkableHandle < YieldTermStructure > | discountRelinkableHandle_ |
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Date | evaluationDate_ |
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Handle< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Rate helper for bootstrapping over Overnight Indexed Swap rates.