DatedOISRateHelper Class Reference

Rate helper for bootstrapping over Overnight Indexed Swap rates. More...

#include <oisratehelper.hpp>

Inheritance diagram for DatedOISRateHelper:

Collaboration diagram for DatedOISRateHelper:

Public Member Functions
	DatedOISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve={}, bool telescopicValueDates=false, RateAveraging::Type averagingMethod=RateAveraging::Compound, Integer paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, const Calendar &paymentCalendar=Calendar(), Spread overnightSpread=0.0, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, const Calendar &fixedCalendar=Calendar())
QL_DEPRECATED	DatedOISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve, bool telescopicValueDates, RateAveraging::Type averagingMethod, Integer paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency, const Calendar &paymentCalendar, const Period &forwardStart, Spread overnightSpread=0.0, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, const Calendar &fixedCalendar=Calendar())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (Handle< Quote > quote)
	BootstrapHelper (Real quote)
	~BootstrapHelper () override=default
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...
virtual Date	earliestDate () const
	earliest relevant date More...
virtual Date	maturityDate () const
	instrument's maturity date More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Visitability
ext::shared_ptr< OvernightIndexedSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
bool	telescopicValueDates_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
RateAveraging::Type	averagingMethod_
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.

Definition at line 98 of file oisratehelper.hpp.

Constructor & Destructor Documentation

DatedOISRateHelper() [1/2]

DatedOISRateHelper	(	const Date &	startDate,
		const Date &	endDate,
		const Handle< Quote > &	fixedRate,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Handle< YieldTermStructure >	discountingCurve = {},
		bool	telescopicValueDates = false,
		RateAveraging::Type	averagingMethod = RateAveraging::Compound,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentConvention = Following,
		Frequency	paymentFrequency = Annual,
		const Calendar &	paymentCalendar = Calendar(),
		Spread	overnightSpread = 0.0,
		ext::optional< bool >	endOfMonth = ext::nullopt,
		ext::optional< Frequency >	fixedPaymentFrequency = ext::nullopt,
		const Calendar &	fixedCalendar = Calendar()
	)

Definition at line 160 of file oisratehelper.cpp.

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DatedOISRateHelper() [2/2]

DatedOISRateHelper	(	const Date &	startDate,
		const Date &	endDate,
		const Handle< Quote > &	fixedRate,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Handle< YieldTermStructure >	discountingCurve,
		bool	telescopicValueDates,
		RateAveraging::Type	averagingMethod,
		Integer	paymentLag,
		BusinessDayConvention	paymentConvention,
		Frequency	paymentFrequency,
		const Calendar &	paymentCalendar,
		const Period &	forwardStart,
		Spread	overnightSpread = 0.0,
		ext::optional< bool >	endOfMonth = ext::nullopt,
		ext::optional< Frequency >	fixedPaymentFrequency = ext::nullopt,
		const Calendar &	fixedCalendar = Calendar()
	)

Deprecated:

Use the overload without forward start. Deprecated in version 1.35.

Definition at line 218 of file oisratehelper.cpp.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 254 of file oisratehelper.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 238 of file oisratehelper.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 261 of file oisratehelper.cpp.

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Member Data Documentation

swap_

ext::shared_ptr<OvernightIndexedSwap> swap_

protected

Definition at line 149 of file oisratehelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 150 of file oisratehelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 152 of file oisratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 153 of file oisratehelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 154 of file oisratehelper.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_

protected

Definition at line 155 of file oisratehelper.hpp.