QuantLib_OISRateHelper man page

OISRateHelper — Rate helper for bootstrapping over Overnight Indexed Swap rates.

Synopsis

#include <ql/termstructures/yield/oisratehelper.hpp>

Inherits RelativeDateBootstrapHelper< TS >.

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 &)

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_

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

OISRateHelper(3) and overnightIndex_(3) are aliases of QuantLib_OISRateHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib