DatedOISRateHelper Class Reference

Rate helper for bootstrapping using Overnight Indexed Swaps. More...

#include <qle/termstructures/oisratehelper.hpp>

Inheritance diagram for DatedOISRateHelper:

Public Member Functions
	DatedOISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex, const DayCounter &fixedDayCounter, const Calendar &fixedCalendar, Natural paymentLag=0, Frequency paymentFrequency=Annual, BusinessDayConvention fixedConvention=Following, BusinessDayConvention paymentAdjustment=Following, DateGeneration::Rule rule=DateGeneration::Backward, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool telescopicValueDates=false, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override

Visitability
boost::shared_ptr< OvernightIndex >	overnightIndex_
DayCounter	fixedDayCounter_
Calendar	fixedCalendar_
Natural	paymentLag_
Frequency	paymentFrequency_
BusinessDayConvention	fixedConvention_
BusinessDayConvention	paymentAdjustment_
DateGeneration::Rule	rule_
boost::shared_ptr< OvernightIndexedSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
bool	telescopicValueDates_
Pillar::Choice	pillarChoice_
void	accept (AcyclicVisitor &) override

Detailed Description

Rate helper for bootstrapping using Overnight Indexed Swaps.