Rate helper for bootstrapping over Overnight Indexed Swap rates. More...
#include <ql/experimental/averageois/arithmeticoisratehelper.hpp>
 Inheritance diagram for ArithmeticOISRateHelper:
 Inheritance diagram for ArithmeticOISRateHelper:| Public Member Functions | |
| ArithmeticOISRateHelper (Natural settlementDays, const Period &tenor, Frequency fixedLegPaymentFrequency, const Handle< Quote > &fixedRate, const boost::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 | |
| boost::shared_ptr< ArithmeticAverageOIS > | swap () const | 
| Visitability | |
| void | accept (AcyclicVisitor &) | 
|  Public Member Functions inherited from RelativeDateBootstrapHelper< TS > | |
| RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
| RelativeDateBootstrapHelper (Real quote) | |
| void | update () | 
|  Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| 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 &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Protected Member Functions | |
| void | initializeDates () | 
| Protected Attributes | |
| Natural | settlementDays_ | 
| Period | tenor_ | 
| boost::shared_ptr< OvernightIndex > | overnightIndex_ | 
| boost::shared_ptr< ArithmeticAverageOIS > | swap_ | 
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ | 
| Handle< YieldTermStructure > | discountHandle_ | 
| RelinkableHandle< YieldTermStructure > | discountRelinkableHandle_ | 
| Frequency | fixedLegPaymentFrequency_ | 
| Frequency | overnightLegPaymentFrequency_ | 
| Handle< Quote > | spread_ | 
| Real | mrs_ | 
| Real | vol_ | 
| bool | byApprox_ | 
|  Protected Attributes inherited from RelativeDateBootstrapHelper< TS > | |
| Date | evaluationDate_ | 
|  Protected Attributes inherited from BootstrapHelper< TS > | |
| Handle< Quote > | quote_ | 
| TS * | termStructure_ | 
| Date | earliestDate_ | 
| Date | latestDate_ | 
| Date | maturityDate_ | 
| Date | latestRelevantDate_ | 
| Date | pillarDate_ | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
Rate helper for bootstrapping over Overnight Indexed Swap rates.