OISRateHelper Class Reference

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

#include <ql/termstructures/yield/oisratehelper.hpp>

Inheritance diagram for OISRateHelper:

Public Member Functions
	OISRateHelper (Natural settlementDays, const Period &tenor, const std::variant< Rate, 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, const std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(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(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar(), BusinessDayConvention convention=ModifiedFollowing)
	OISRateHelper (const Date &startDate, const Date &endDate, const std::variant< Rate, 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 std::variant< Spread, Handle< Quote > > &overnightSpread=Spread(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(), Natural lookbackDays=Null< Natural >(), Natural lockoutDays=0, bool applyObservationShift=false, ext::shared_ptr< FloatingRateCouponPricer > pricer={}, DateGeneration::Rule rule=DateGeneration::Backward, Calendar overnightCalendar=Calendar(), BusinessDayConvention convention=ModifiedFollowing)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
	sets the term structure to be used for pricing
inspectors
ext::shared_ptr< OvernightIndexedSwap >	swap () const
Public Member Functions inherited from RelativeDateBootstrapHelper< YieldTermStructure >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< YieldTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (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 &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Visitability
Natural	settlementDays_
Period	tenor_
Date	startDate_
Date	endDate_
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_
Handle< Quote >	overnightSpread_
Pillar::Choice	pillarChoice_
RateAveraging::Type	averagingMethod_
ext::optional< bool >	endOfMonth_
ext::optional< Frequency >	fixedPaymentFrequency_
Calendar	fixedCalendar_
Calendar	overnightCalendar_
BusinessDayConvention	convention_
Natural	lookbackDays_
Natural	lockoutDays_
bool	applyObservationShift_
ext::shared_ptr< FloatingRateCouponPricer >	pricer_
DateGeneration::Rule	rule_ = DateGeneration::Backward
void	accept (AcyclicVisitor &) override
void	initialize (const ext::shared_ptr< OvernightIndex > &overnightIndex, Date customPillarDate)
void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Date	evaluationDate_
bool	updateDates_
Handle< Quote >	quote_
YieldTermStructure *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YieldTermStructure >.

setTermStructure()

void setTermStructure ( YieldTermStructure * )

overridevirtual

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YieldTermStructure >.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from BootstrapHelper< YieldTermStructure >.

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< YieldTermStructure >.