QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
ArithmeticOISRateHelper Class Reference

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

#include <ql/experimental/averageois/arithmeticoisratehelper.hpp>

+ Inheritance diagram for ArithmeticOISRateHelper:

Public Member Functions

 ArithmeticOISRateHelper (Natural settlementDays, const Period &tenor, Frequency fixedLegPaymentFrequency, const Handle< Quote > &fixedRate, const ext::shared_ptr< OvernightIndex > &overnightIndex, Frequency overnightLegPaymentFrequency, const Handle< Quote > &spread, Real meanReversionSpeed=0.03, Real volatility=0.00, bool byApprox=false, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
 
RateHelper interface
Real impliedQuote () const
 
void setTermStructure (YieldTermStructure *)
 
inspectors
ext::shared_ptr< ArithmeticAverageOISswap () const
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
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
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const 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 deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Visitability

Natural settlementDays_
 
Period tenor_
 
ext::shared_ptr< OvernightIndex > overnightIndex_
 
ext::shared_ptr< ArithmeticAverageOISswap_
 
RelinkableHandle< YieldTermStructuretermStructureHandle_
 
Handle< YieldTermStructurediscountHandle_
 
RelinkableHandle< YieldTermStructurediscountRelinkableHandle_
 
Frequency fixedLegPaymentFrequency_
 
Frequency overnightLegPaymentFrequency_
 
Handle< Quotespread_
 
Real mrs_
 
Real vol_
 
bool byApprox_
 
void accept (AcyclicVisitor &)
 
void initializeDates ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
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< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.