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 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_ |