DoubleOIBSHelper Class Reference

Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads. More...

#include <qle/termstructures/doubleoibasisswaphelper.hpp>

Inheritance diagram for DoubleOIBSHelper:

Public Member Functions
	DoubleOIBSHelper (Natural settlementDays, const Period &swapTenor, const Handle< Quote > &spread, const boost::shared_ptr< OvernightIndex > &payIndex, const boost::shared_ptr< OvernightIndex > &recIndex, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const bool spreadOnPayLeg=false, const Period &shortPayTenor=Period(), const Period &longPayTenor=Period(), const bool telescopicValueDates=false)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
boost::shared_ptr< DoubleOvernightIndexedBasisSwap >	swap () const

Visitability
Natural	settlementDays_
Period	swapTenor_
boost::shared_ptr< OvernightIndex >	payIndex_
boost::shared_ptr< OvernightIndex >	recIndex_
Handle< YieldTermStructure >	discount_
bool	spreadOnPayLeg_
Period	shortPayTenor_
Period	longPayTenor_
bool	telescopicValueDates_
boost::shared_ptr< DoubleOvernightIndexedBasisSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Basis Swap Spreads.