Rate helper for bootstrapping over Overnight Indexed Swap rates. More...

#include <arithmeticoisratehelper.hpp>

Inheritance diagram for ArithmeticOISRateHelper:

Collaboration diagram for ArithmeticOISRateHelper:

Public Member Functions
	ArithmeticOISRateHelper (Natural settlementDays, const Period &tenor, Frequency fixedLegPaymentFrequency, const Handle< Quote > &fixedRate, ext::shared_ptr< OvernightIndex > overnightIndex, Frequency overnightLegPaymentFrequency, Handle< Quote > spread, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false, Handle< YieldTermStructure > discountingCurve=Handle< YieldTermStructure >())

RateHelper interface
Real	impliedQuote () const override

void	setTermStructure (YieldTermStructure *) override

inspectors
ext::shared_ptr< ArithmeticAverageOIS >	swap () const

Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const Handle< Quote > &quote)

	RelativeDateBootstrapHelper (Real quote)

void	update () 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...

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
Natural	settlementDays_

Period	tenor_

ext::shared_ptr< OvernightIndex >	overnightIndex_

ext::shared_ptr< ArithmeticAverageOIS >	swap_

RelinkableHandle< YieldTermStructure >	termStructureHandle_

Handle< YieldTermStructure >	discountHandle_

RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_

Frequency	fixedLegPaymentFrequency_

Frequency	overnightLegPaymentFrequency_

Handle< Quote >	spread_

Real	mrs_

Real	vol_

bool	byApprox_

void	accept (AcyclicVisitor &) override

void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_

Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_

TS *	termStructure_

Date	earliestDate_

Date	latestDate_

Date	maturityDate_

Date	latestRelevantDate_

Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.

Definition at line 33 of file arithmeticoisratehelper.hpp.

Constructor & Destructor Documentation

◆ ArithmeticOISRateHelper()

ArithmeticOISRateHelper	(	Natural	settlementDays,
		const Period &	tenor,
		Frequency	fixedLegPaymentFrequency,
		const Handle< Quote > &	fixedRate,
		ext::shared_ptr< OvernightIndex >	overnightIndex,
		Frequency	overnightLegPaymentFrequency,
		Handle< Quote >	spread,
		Real	meanReversionSpeed = `0.03`,
		Real	volatility = `0.00`,
		bool	byApprox = `false`,
		Handle< YieldTermStructure >	discountingCurve = `Handle<YieldTermStructure>()`
	)