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 >(), 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 &)

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_

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

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

Mon Apr 30 2018 Version 1.12.1 QuantLib