AverageOISRateHelper Class Reference

Average OIS Rate Helper. More...

#include <qle/termstructures/averageoisratehelper.hpp>

Inheritance diagram for AverageOISRateHelper:

Public Member Functions
	AverageOISRateHelper (const Handle< Quote > &fixedRate, const Period &spotLagTenor, const Period &swapTenor, const Period &fixedTenor, const DayCounter &fixedDayCounter, const Calendar &fixedCalendar, BusinessDayConvention fixedConvention, BusinessDayConvention fixedPaymentAdjustment, const QuantLib::ext::shared_ptr< OvernightIndex > &overnightIndex, const Period &onTenor, const Handle< Quote > &onSpread, Natural rateCutoff, const Handle< YieldTermStructure > &discountCurve=Handle< YieldTermStructure >(), const bool telescopicValueDates=false)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
AverageOISRateHelper inspectors
Spread	onSpread () const
QuantLib::ext::shared_ptr< AverageOIS >	averageOIS () const

Visitability
QuantLib::ext::shared_ptr< AverageOIS >	averageOIS_
Period	spotLagTenor_
Period	swapTenor_
Period	fixedTenor_
DayCounter	fixedDayCounter_
Calendar	fixedCalendar_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	fixedPaymentAdjustment_
QuantLib::ext::shared_ptr< OvernightIndex >	overnightIndex_
Period	onTenor_
Handle< Quote >	onSpread_
Natural	rateCutoff_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
bool	telescopicValueDates_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Average OIS Rate Helper.

Rate helper to facilitate the usage of an AverageOIS instrument in bootstrapping. This instrument pays a fixed leg vs. a leg that pays the arithmetic average of an ON index plus a spread.

    \ingroup termstructures