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

Generated automatically by Doxygen for QuantLib from the source code.