QuantLib_DatedOISRateHelper

Langue: en

Version: 383940 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::DatedOISRateHelper -

Rate helper for bootstrapping over Overnight Indexed Swap rates.

SYNOPSIS


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

Inherits QuantLib::BootstrapHelper< YieldTermStructure >.

Public Member Functions


DatedOISRateHelper (const Date &startDate, const Date &endDate, const Handle< Quote > &fixedRate, const boost::shared_ptr< OvernightIndex > &overnightIndex)

RateHelper interface

 


Real impliedQuote () const

void setTermStructure (YieldTermStructure *)

Visitability

 


void accept (AcyclicVisitor &)

Protected Attributes


boost::shared_ptr< OvernightIndexedSwap > swap_

RelinkableHandle< YieldTermStructure > termStructureHandle_

Detailed Description

Rate helper for bootstrapping over Overnight Indexed Swap rates.

Author

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