QuantLib_OISRateHelper man page

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


#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 *)


boost::shared_ptr< OvernightIndexedSwap > swap () const


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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page OISRateHelper(3) is an alias of QuantLib_OISRateHelper(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib