QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
OISRateHelper Class Reference

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< OvernightIndexedSwapswap () const
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

void initializeDates ()
 

Protected Attributes

Natural settlementDays_
 
Period tenor_
 
boost::shared_ptr< OvernightIndex > overnightIndex_
 
boost::shared_ptr< OvernightIndexedSwapswap_
 
RelinkableHandle< YieldTermStructuretermStructureHandle_
 
Handle< YieldTermStructurediscountHandle_
 
bool telescopicValueDates_
 
RelinkableHandle< YieldTermStructurediscountRelinkableHandle_
 
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< Quotequote_
 
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
 

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.