OISRateHelper Class Reference

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

#include <oisratehelper.hpp>

Inheritance diagram for OISRateHelper:

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Public Member Functions
	OISRateHelper (Natural settlementDays, const Period &tenor, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve={}, bool telescopicValueDates=false, Integer paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, Calendar paymentCalendar=Calendar(), const Period &forwardStart=0 *Days, const std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(0.0), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), RateAveraging::Type averagingMethod=RateAveraging::Compound, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, Calendar fixedCalendar=Calendar(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar())
	OISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Handle< YieldTermStructure > discountingCurve={}, bool telescopicValueDates=false, Integer paymentLag=0, BusinessDayConvention paymentConvention=Following, Frequency paymentFrequency=Annual, Calendar paymentCalendar=Calendar(), const std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(0.0), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), RateAveraging::Type averagingMethod=RateAveraging::Compound, ext::optional< bool > endOfMonth=ext::nullopt, ext::optional< Frequency > fixedPaymentFrequency=ext::nullopt, Calendar fixedCalendar=Calendar(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
ext::shared_ptr< OvernightIndexedSwap >	swap () const
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () 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...
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
Natural	settlementDays_
Period	tenor_
Date	startDate_
Date	endDate_
ext::shared_ptr< OvernightIndex >	overnightIndex_
ext::shared_ptr< OvernightIndexedSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
bool	telescopicValueDates_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
Integer	paymentLag_
BusinessDayConvention	paymentConvention_
Frequency	paymentFrequency_
Calendar	paymentCalendar_
Period	forwardStart_
Handle< Quote >	overnightSpread_
Pillar::Choice	pillarChoice_
RateAveraging::Type	averagingMethod_
ext::optional< bool >	endOfMonth_
ext::optional< Frequency >	fixedPaymentFrequency_
Calendar	fixedCalendar_
Calendar	overnightCalendar_
Natural	lookbackDays_
Natural	lockoutDays_
bool	applyObservationShift_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
DateGeneration::Rule	rule_ = DateGeneration::Backward
void	accept (AcyclicVisitor &) override
void	initialize (const ext::shared_ptr< OvernightIndex > &overnightIndex, Date customPillarDate)
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_
bool	updateDates_
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 38 of file oisratehelper.hpp.

Constructor & Destructor Documentation

OISRateHelper() [1/2]

OISRateHelper	(	Natural	settlementDays,
		const Period &	tenor,
		const Handle< Quote > &	fixedRate,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Handle< YieldTermStructure >	discountingCurve = {},
		bool	telescopicValueDates = false,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentConvention = Following,
		Frequency	paymentFrequency = Annual,
		Calendar	paymentCalendar = Calendar(),
		const Period &	forwardStart = 0 * Days,
		const std::variant< Spread, Handle< Quote > > &	overnightSpread = Spread(0.0),
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		RateAveraging::Type	averagingMethod = RateAveraging::Compound,
		ext::optional< bool >	endOfMonth = ext::nullopt,
		ext::optional< Frequency >	fixedPaymentFrequency = ext::nullopt,
		Calendar	fixedCalendar = Calendar(),
		Natural	lookbackDays = Null<Natural>(),
		Natural	lockoutDays = 0,
		bool	applyObservationShift = false,
		ext::shared_ptr< FloatingRateCouponPricer >	pricer = {},
		DateGeneration::Rule	rule = DateGeneration::Backward,
		Calendar	overnightCalendar = Calendar()
	)

Definition at line 31 of file oisratehelper.cpp.

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OISRateHelper() [2/2]

OISRateHelper	(	const Date &	startDate,
		const Date &	endDate,
		const Handle< Quote > &	fixedRate,
		const ext::shared_ptr< OvernightIndex > &	overnightIndex,
		Handle< YieldTermStructure >	discountingCurve = {},
		bool	telescopicValueDates = false,
		Integer	paymentLag = 0,
		BusinessDayConvention	paymentConvention = Following,
		Frequency	paymentFrequency = Annual,
		Calendar	paymentCalendar = Calendar(),
		const std::variant< Spread, Handle< Quote > > &	overnightSpread = Spread(0.0),
		Pillar::Choice	pillar = Pillar::LastRelevantDate,
		Date	customPillarDate = Date(),
		RateAveraging::Type	averagingMethod = RateAveraging::Compound,
		ext::optional< bool >	endOfMonth = ext::nullopt,
		ext::optional< Frequency >	fixedPaymentFrequency = ext::nullopt,
		Calendar	fixedCalendar = Calendar(),
		Natural	lookbackDays = Null<Natural>(),
		Natural	lockoutDays = 0,
		bool	applyObservationShift = false,
		ext::shared_ptr< FloatingRateCouponPricer >	pricer = {},
		DateGeneration::Rule	rule = DateGeneration::Backward,
		Calendar	overnightCalendar = Calendar()
	)

Definition at line 67 of file oisratehelper.cpp.

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 205 of file oisratehelper.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 189 of file oisratehelper.cpp.

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swap()

ext::shared_ptr< OvernightIndexedSwap > swap

(

)

const

Definition at line 99 of file oisratehelper.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 219 of file oisratehelper.cpp.

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initialize()

void initialize ( const ext::shared_ptr< OvernightIndex > &  overnightIndex, Date  customPillarDate  )

protected

Definition at line 102 of file oisratehelper.cpp.

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initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 119 of file oisratehelper.cpp.

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Member Data Documentation

settlementDays_

Natural settlementDays_

protected

Definition at line 110 of file oisratehelper.hpp.

tenor_

Period tenor_

protected

Definition at line 111 of file oisratehelper.hpp.

startDate_

Date startDate_

protected

Definition at line 112 of file oisratehelper.hpp.

endDate_

Date endDate_

protected

Definition at line 112 of file oisratehelper.hpp.

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

protected

Definition at line 113 of file oisratehelper.hpp.

swap_

ext::shared_ptr<OvernightIndexedSwap> swap_

protected

Definition at line 115 of file oisratehelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 116 of file oisratehelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 118 of file oisratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 119 of file oisratehelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 120 of file oisratehelper.hpp.

paymentLag_

Integer paymentLag_

protected

Definition at line 122 of file oisratehelper.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

protected

Definition at line 123 of file oisratehelper.hpp.

paymentFrequency_

Frequency paymentFrequency_

protected

Definition at line 124 of file oisratehelper.hpp.

paymentCalendar_

Calendar paymentCalendar_

protected

Definition at line 125 of file oisratehelper.hpp.

forwardStart_

Period forwardStart_

protected

Definition at line 126 of file oisratehelper.hpp.

overnightSpread_

Handle<Quote> overnightSpread_

protected

Definition at line 127 of file oisratehelper.hpp.

pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 128 of file oisratehelper.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_

protected

Definition at line 129 of file oisratehelper.hpp.

endOfMonth_

ext::optional<bool> endOfMonth_

protected

Definition at line 130 of file oisratehelper.hpp.

fixedPaymentFrequency_

ext::optional<Frequency> fixedPaymentFrequency_

protected

Definition at line 131 of file oisratehelper.hpp.

fixedCalendar_

Calendar fixedCalendar_

protected

Definition at line 132 of file oisratehelper.hpp.

overnightCalendar_

Calendar overnightCalendar_

protected

Definition at line 133 of file oisratehelper.hpp.

lookbackDays_

Natural lookbackDays_

protected

Definition at line 134 of file oisratehelper.hpp.

lockoutDays_

Natural lockoutDays_

protected

Definition at line 135 of file oisratehelper.hpp.

applyObservationShift_

bool applyObservationShift_

protected

Definition at line 136 of file oisratehelper.hpp.

pricer_

ext::shared_ptr<FloatingRateCouponPricer> pricer_

protected

Definition at line 137 of file oisratehelper.hpp.

rule_

DateGeneration::Rule rule_ = DateGeneration::Backward

protected

Definition at line 138 of file oisratehelper.hpp.