Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads. More...
#include <qle/termstructures/oiccbasisswaphelper.hpp>
Public Member Functions | |
OICCBSHelper (Natural settlementDays, const Period &term, const boost::shared_ptr< OvernightIndex > &payIndex, const Period &payTenor, const boost::shared_ptr< OvernightIndex > &recIndex, const Period &recTenor, const Handle< Quote > &spreadQuote, const Handle< YieldTermStructure > &fixedDiscountCurve, bool spreadQuoteOnPayLeg, bool fixedDiscountOnPayLeg) | |
RateHelper interface | |
Real | impliedQuote () const override |
void | setTermStructure (YieldTermStructure *) override |
inspectors | |
boost::shared_ptr< OvernightIndexedCrossCcyBasisSwap > | swap () const |
Visitability | |
Natural | settlementDays_ |
Period | term_ |
boost::shared_ptr< OvernightIndex > | payIndex_ |
Period | payTenor_ |
boost::shared_ptr< OvernightIndex > | recIndex_ |
Period | recTenor_ |
Handle< YieldTermStructure > | fixedDiscountCurve_ |
bool | spreadQuoteOnPayLeg_ |
bool | fixedDiscountOnPayLeg_ |
boost::shared_ptr< OvernightIndexedCrossCcyBasisSwap > | swap_ |
RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
void | accept (AcyclicVisitor &) override |
void | initializeDates () override |
Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads.