QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | List of all members
OvernightIndexFutureRateHelper Class Reference

RateHelper for bootstrapping over overnight compounding futures. More...

#include <overnightindexfutureratehelper.hpp>

+ Inheritance diagram for OvernightIndexFutureRateHelper:
+ Collaboration diagram for OvernightIndexFutureRateHelper:

Public Member Functions

 OvernightIndexFutureRateHelper (const Handle< Quote > &price, const Date &valueDate, const Date &maturityDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, const Handle< Quote > &convexityAdjustment={}, RateAveraging::Type averagingMethod=RateAveraging::Compound)
 
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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Visitability

ext::shared_ptr< OvernightIndexFuturefuture_
 
RelinkableHandle< YieldTermStructuretermStructureHandle_
 
void accept (AcyclicVisitor &) override
 
Real convexityAdjustment () const
 

Additional Inherited Members

- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

RateHelper for bootstrapping over overnight compounding futures.

Definition at line 34 of file overnightindexfutureratehelper.hpp.

Constructor & Destructor Documentation

◆ OvernightIndexFutureRateHelper()

OvernightIndexFutureRateHelper ( const Handle< Quote > &  price,
const Date valueDate,
const Date maturityDate,
const ext::shared_ptr< OvernightIndex > &  overnightIndex,
const Handle< Quote > &  convexityAdjustment = {},
RateAveraging::Type  averagingMethod = RateAveraging::Compound 
)

Definition at line 50 of file overnightindexfutureratehelper.cpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ impliedQuote()

Real impliedQuote ( ) const
overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 69 of file overnightindexfutureratehelper.cpp.

◆ setTermStructure()

void setTermStructure ( YieldTermStructure t)
override

Definition at line 74 of file overnightindexfutureratehelper.cpp.

+ Here is the call graph for this function:

◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 85 of file overnightindexfutureratehelper.cpp.

+ Here is the call graph for this function:

◆ convexityAdjustment()

Real convexityAdjustment ( ) const

Definition at line 93 of file overnightindexfutureratehelper.cpp.

+ Here is the caller graph for this function:

Member Data Documentation

◆ future_

ext::shared_ptr<OvernightIndexFuture> future_
private

Definition at line 56 of file overnightindexfutureratehelper.hpp.

◆ termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_
private

Definition at line 57 of file overnightindexfutureratehelper.hpp.