QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
RateHelper for bootstrapping over overnight compounding futures. More...
#include <overnightindexfutureratehelper.hpp>
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 &) | |
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< OvernightIndexFuture > | future_ |
RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
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< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
RateHelper for bootstrapping over overnight compounding futures.
Definition at line 34 of file overnightindexfutureratehelper.hpp.
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.
|
overridevirtual |
Implements BootstrapHelper< TS >.
Definition at line 69 of file overnightindexfutureratehelper.cpp.
|
override |
Definition at line 74 of file overnightindexfutureratehelper.cpp.
|
overridevirtual |
Reimplemented from BootstrapHelper< TS >.
Definition at line 85 of file overnightindexfutureratehelper.cpp.
Real convexityAdjustment | ( | ) | const |
Definition at line 93 of file overnightindexfutureratehelper.cpp.
|
private |
Definition at line 56 of file overnightindexfutureratehelper.hpp.
|
private |
Definition at line 57 of file overnightindexfutureratehelper.hpp.