DatedOISRateHelper Class Reference

#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={}, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, const Calendar &fixedCalendar=Calendar(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, const ext::shared_ptr< FloatingRateCouponPricer > &pricer={})
	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={}, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, const Calendar &fixedCalendar=Calendar())
Public Member Functions inherited from OISRateHelper
	OISRateHelper (Natural settlementDays, const Period &tenor, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve={}, bool telescopicValueDates=false, Integer paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, Calendar paymentCalendar=Calendar(), const Period &forwardStart=0 *Days, const std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(0.0), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), RateAveraging::Type averagingMethod=RateAveraging::Compound, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, Calendar fixedCalendar=Calendar(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar())
	OISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve={}, bool telescopicValueDates=false, Integer paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, Calendar paymentCalendar=Calendar(), const std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(0.0), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), RateAveraging::Type averagingMethod=RateAveraging::Compound, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, Calendar fixedCalendar=Calendar(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar())
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
ext::shared_ptr< OvernightIndexedSwap >	swap () const
void	accept (AcyclicVisitor &) override
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &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...
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 ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from OISRateHelper
void	initialize (const ext::shared_ptr< OvernightIndex > &overnightIndex, Date customPillarDate)
void	initializeDates () override
Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from OISRateHelper
Natural	settlementDays_
Period	tenor_
Date	startDate_
Date	endDate_
ext::shared_ptr< OvernightIndex >	overnightIndex_
ext::shared_ptr< OvernightIndexedSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
bool	telescopicValueDates_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
Integer	paymentLag_
BusinessDayConvention	paymentConvention_
Frequency	paymentFrequency_
Calendar	paymentCalendar_
Period	forwardStart_
Handle< Quote >	overnightSpread_
Pillar::Choice	pillarChoice_
RateAveraging::Type	averagingMethod_
ext::optional< bool >	endOfMonth_
ext::optional< Frequency >	fixedPaymentFrequency_
Calendar	fixedCalendar_
Calendar	overnightCalendar_
Natural	lookbackDays_
Natural	lockoutDays_
bool	applyObservationShift_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
DateGeneration::Rule	rule_ = DateGeneration::Backward
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_
bool	updateDates_
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Deprecated:

Use OISRateHelper instead. Deprecated in version 1.37.

Definition at line 145 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 = {},
		ext::optional< bool >	endOfMonth = ext::nullopt,
		ext::optional< Frequency >	fixedPaymentFrequency = ext::nullopt,
		const Calendar &	fixedCalendar = Calendar(),
		Natural	lookbackDays = Null<Natural>(),
		Natural	lockoutDays = 0,
		bool	applyObservationShift = false,
		const ext::shared_ptr< FloatingRateCouponPricer > &	pricer = {}
	)

Definition at line 227 of file oisratehelper.cpp.

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 = {},
		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 252 of file oisratehelper.cpp.