QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
#include <ql/termstructures/yield/oisratehelper.hpp>
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, Natural paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, const Calendar &paymentCalendar=Calendar(), const Period &forwardStart=0 *Days, Spread overnightSpread=0.0, ext::optional< bool > endOfMonth=ext::nullopt) | |
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_ |
Rate helper for bootstrapping over Overnight Indexed Swap rates.
Definition at line 94 of file oisratehelper.hpp.
DatedOISRateHelper | ( | const Date & | startDate, |
const Date & | endDate, | ||
const Handle< Quote > & | fixedRate, | ||
const ext::shared_ptr< OvernightIndex > & | overnightIndex, | ||
Handle< YieldTermStructure > | discountingCurve = {} , |
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bool | telescopicValueDates = false , |
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RateAveraging::Type | averagingMethod = RateAveraging::Compound , |
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Natural | paymentLag = 0 , |
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BusinessDayConvention | paymentConvention = Following , |
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Frequency | paymentFrequency = Annual , |
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const Calendar & | paymentCalendar = Calendar() , |
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const Period & | forwardStart = 0 * Days , |
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Spread | overnightSpread = 0.0 , |
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ext::optional< bool > | endOfMonth = ext::nullopt |
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) |
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overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 220 of file oisratehelper.cpp.
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override |
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overridevirtual |
Reimplemented from BootstrapHelper< TS >.
Definition at line 227 of file oisratehelper.cpp.
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protected |
Definition at line 121 of file oisratehelper.hpp.
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protected |
Definition at line 122 of file oisratehelper.hpp.
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protected |
Definition at line 124 of file oisratehelper.hpp.
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protected |
Definition at line 125 of file oisratehelper.hpp.
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Definition at line 126 of file oisratehelper.hpp.
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protected |
Definition at line 127 of file oisratehelper.hpp.