OISRateHelper Class Reference

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

#include <oisratehelper.hpp>

Inheritance diagram for OISRateHelper:

Collaboration diagram for OISRateHelper:

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, Spread overnightSpread=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())
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 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
Pillar::Choice	pillarChoice_
Natural	settlementDays_
Period	tenor_
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_
Spread	overnightSpread_
RateAveraging::Type	averagingMethod_
ext::optional< bool >	endOfMonth_
ext::optional< Frequency >	fixedPaymentFrequency_
Calendar	fixedCalendar_
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 35 of file oisratehelper.hpp.

Constructor & Destructor Documentation

OISRateHelper()

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,
		Spread	overnightSpread = 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()
	)

Definition at line 30 of file oisratehelper.cpp.

Here is the call graph for this function:

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 145 of file oisratehelper.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 129 of file oisratehelper.cpp.

Here is the call graph for this function:

swap()

ext::shared_ptr< OvernightIndexedSwap > swap

(

)

const

Definition at line 64 of file oisratehelper.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 152 of file oisratehelper.cpp.

Here is the call graph for this function:

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 70 of file oisratehelper.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

pillarChoice_

Pillar::Choice pillarChoice_

protected

Definition at line 72 of file oisratehelper.hpp.

settlementDays_

Natural settlementDays_

protected

Definition at line 74 of file oisratehelper.hpp.

tenor_

Period tenor_

protected

Definition at line 75 of file oisratehelper.hpp.

overnightIndex_

ext::shared_ptr<OvernightIndex> overnightIndex_

protected

Definition at line 76 of file oisratehelper.hpp.

swap_

ext::shared_ptr<OvernightIndexedSwap> swap_

protected

Definition at line 78 of file oisratehelper.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 79 of file oisratehelper.hpp.

discountHandle_

Handle<YieldTermStructure> discountHandle_

protected

Definition at line 81 of file oisratehelper.hpp.

telescopicValueDates_

bool telescopicValueDates_

protected

Definition at line 82 of file oisratehelper.hpp.

discountRelinkableHandle_

RelinkableHandle<YieldTermStructure> discountRelinkableHandle_

protected

Definition at line 83 of file oisratehelper.hpp.

paymentLag_

Integer paymentLag_

protected

Definition at line 85 of file oisratehelper.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

protected

Definition at line 86 of file oisratehelper.hpp.

paymentFrequency_

Frequency paymentFrequency_

protected

Definition at line 87 of file oisratehelper.hpp.

paymentCalendar_

Calendar paymentCalendar_

protected

Definition at line 88 of file oisratehelper.hpp.

forwardStart_

Period forwardStart_

protected

Definition at line 89 of file oisratehelper.hpp.

overnightSpread_

Spread overnightSpread_

protected

Definition at line 90 of file oisratehelper.hpp.

averagingMethod_

RateAveraging::Type averagingMethod_

protected

Definition at line 91 of file oisratehelper.hpp.

endOfMonth_

ext::optional<bool> endOfMonth_

protected

Definition at line 92 of file oisratehelper.hpp.

fixedPaymentFrequency_

ext::optional<Frequency> fixedPaymentFrequency_

protected

Definition at line 93 of file oisratehelper.hpp.

fixedCalendar_

Calendar fixedCalendar_

protected

Definition at line 94 of file oisratehelper.hpp.