25#ifndef quantlib_oisratehelper_hpp
26#define quantlib_oisratehelper_hpp
28#include <ql/termstructures/yield/ratehelpers.hpp>
29#include <ql/instruments/overnightindexedswap.hpp>
30#include <ql/optional.hpp>
40 const ext::shared_ptr<OvernightIndex>& overnightIndex,
43 bool telescopicValueDates =
false,
49 Spread overnightSpread = 0.0,
62 ext::shared_ptr<OvernightIndexedSwap>
swap()
const {
return swap_; }
76 ext::shared_ptr<OvernightIndexedSwap>
swap_;
99 const ext::shared_ptr<OvernightIndex>& overnightIndex,
102 bool telescopicValueDates =
false,
109 Spread overnightSpread = 0.0,
121 ext::shared_ptr<OvernightIndexedSwap>
swap_;
degenerate base class for the Acyclic Visitor pattern
Base helper class for bootstrapping.
Rate helper for bootstrapping over Overnight Indexed Swap rates.
RelinkableHandle< YieldTermStructure > discountRelinkableHandle_
void setTermStructure(YieldTermStructure *) override
bool telescopicValueDates_
RelinkableHandle< YieldTermStructure > termStructureHandle_
Handle< YieldTermStructure > discountHandle_
void accept(AcyclicVisitor &) override
RateAveraging::Type averagingMethod_
ext::shared_ptr< OvernightIndexedSwap > swap_
Real impliedQuote() const override
Shared handle to an observable.
Rate helper for bootstrapping over Overnight Indexed Swap rates.
ext::shared_ptr< OvernightIndex > overnightIndex_
RelinkableHandle< YieldTermStructure > discountRelinkableHandle_
void setTermStructure(YieldTermStructure *) override
bool telescopicValueDates_
RelinkableHandle< YieldTermStructure > termStructureHandle_
Calendar paymentCalendar_
Pillar::Choice pillarChoice_
Handle< YieldTermStructure > discountHandle_
void accept(AcyclicVisitor &) override
ext::optional< bool > endOfMonth_
RateAveraging::Type averagingMethod_
void initializeDates() override
ext::shared_ptr< OvernightIndexedSwap > swap_
BusinessDayConvention paymentConvention_
Real impliedQuote() const override
Frequency paymentFrequency_
ext::shared_ptr< OvernightIndexedSwap > swap() const
Bootstrap helper with date schedule relative to global evaluation date.
Relinkable handle to an observable.
Interest-rate term structure.
Frequency
Frequency of events.
BusinessDayConvention
Business Day conventions.
unsigned QL_INTEGER Natural
positive integer
Real Spread
spreads on interest rates
const boost::none_t & nullopt
Choice
Enumeration for pillar determination alternatives.
@ LastRelevantDate
instruments maturity date