OISRateHelper Class Reference

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

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

Inheritance diagram for OISRateHelper:

List of all members.

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.