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

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

QuantLib Version 1.8.1 Fri Sep 23 2016