Rate helper for bootstrapping using Overnight Indexed Swaps.
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#include <qle/termstructures/oisratehelper.hpp>
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| OISRateHelper (Natural settlementDays, const Period &swapTenor, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex, const DayCounter &fixedDayCounter, const Calendar &fixedCalendar, Natural paymentLag=0, bool endOfMonth=false, 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()) |
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Real | impliedQuote () const override |
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void | setTermStructure (YieldTermStructure *) override |
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boost::shared_ptr< OvernightIndexedSwap > | swap () const |
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Natural | settlementDays_ |
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Period | swapTenor_ |
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boost::shared_ptr< OvernightIndex > | overnightIndex_ |
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DayCounter | fixedDayCounter_ |
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Calendar | fixedCalendar_ |
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Natural | paymentLag_ |
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bool | endOfMonth_ |
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Frequency | paymentFrequency_ |
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BusinessDayConvention | fixedConvention_ |
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BusinessDayConvention | paymentAdjustment_ |
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DateGeneration::Rule | rule_ |
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boost::shared_ptr< OvernightIndexedSwap > | swap_ |
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RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
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Handle< YieldTermStructure > | discountHandle_ |
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RelinkableHandle< YieldTermStructure > | discountRelinkableHandle_ |
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bool | telescopicValueDates_ |
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Pillar::Choice | pillarChoice_ |
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void | accept (AcyclicVisitor &) override |
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void | initializeDates () override |
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Rate helper for bootstrapping using Overnight Indexed Swaps.