Average OIS Rate Helper. More...
#include <qle/termstructures/averageoisratehelper.hpp>
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 boost::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 |
boost::shared_ptr< AverageOIS > | averageOIS () const |
Visitability | |
boost::shared_ptr< AverageOIS > | averageOIS_ |
Period | spotLagTenor_ |
Period | swapTenor_ |
Period | fixedTenor_ |
DayCounter | fixedDayCounter_ |
Calendar | fixedCalendar_ |
BusinessDayConvention | fixedConvention_ |
BusinessDayConvention | fixedPaymentAdjustment_ |
boost::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 |
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