OISRateHelper Class Reference

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

#include <qle/termstructures/oisratehelper.hpp>

Inheritance diagram for OISRateHelper:

Public Member Functions
	OISRateHelper (Natural settlementDays, const Period &swapTenor, const Handle< Quote > &fixedRate, const QuantLib::ext::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())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
QuantLib::ext::shared_ptr< OvernightIndexedSwap >	swap () const

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

Detailed Description

Rate helper for bootstrapping using Overnight Indexed Swaps.