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 (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...

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 ()=default

	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_

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`
	)