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QuantLib_OISRateHelper
Langue: en
Version: 375342 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::OISRateHelper -Rate helper for bootstrapping over Overnight Indexed Swap rates.
SYNOPSIS
#include <ql/termstructures/yield/oisratehelper.hpp>
Inherits QuantLib::RelativeDateBootstrapHelper< YieldTermStructure >.
Public Member Functions
OISRateHelper (Natural settlementDays, const Period &tenor, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
inspectors
boost::shared_ptr< OvernightIndexedSwap > swap () const
Visitability
void accept (AcyclicVisitor &)
Protected Member Functions
void initializeDates ()
Protected Attributes
Natural settlementDays_
Period tenor_
boost::shared_ptr< OvernightIndex > overnightIndex_
boost::shared_ptr< OvernightIndexedSwap > swap_
RelinkableHandle< YieldTermStructure > termStructureHandle_
Detailed Description
Rate helper for bootstrapping over Overnight Indexed Swap rates.
Author
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Contenus ©2006-2024 Benjamin Poulain
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