OIBSHelper Class Reference

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

#include <qle/termstructures/oibasisswaphelper.hpp>

Inheritance diagram for OIBSHelper:

Public Member Functions
	OIBSHelper (Natural settlementDays, const Period &tenor, const Handle< Quote > &oisSpread, const boost::shared_ptr< OvernightIndex > &overnightIndex, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< YieldTermStructure > &discount=Handle< YieldTermStructure >(), const bool telescopicValueDates=false)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
boost::shared_ptr< OvernightIndexedBasisSwap >	swap () const

Visitability
Natural	settlementDays_
Period	tenor_
boost::shared_ptr< OvernightIndex >	overnightIndex_
boost::shared_ptr< IborIndex >	iborIndex_
Handle< YieldTermStructure >	discount_
bool	telescopicValueDates_
boost::shared_ptr< OvernightIndexedBasisSwap >	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.