QuantLib: OvernightIndexFutureRateHelper Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
OvernightIndexFutureRateHelper Class Reference

RateHelper for bootstrapping over overnight compounding futures. More...

`#include <ql/experimental/futures/overnightindexfutureratehelper.hpp>`

Inheritance diagram for OvernightIndexFutureRateHelper:
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## Public Member Functions
| OvernightIndexFutureRateHelper (const Handle< Quote > &price, const Date &valueDate, const Date &maturityDate, const ext::shared_ptr< OvernightIndex > &overnightIndex, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), OvernightIndexFuture::NettingType subPeriodsNettingType=OvernightIndexFuture::Compounding)
RateHelper interface
Real | impliedQuote () const
void | setTermStructure (YieldTermStructure *)
Public Member Functions inherited from BootstrapHelper< TS >
| BootstrapHelper (const Handle< Quote > &quote)
| 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...
virtual void | update ()
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 &)
void | notifyObservers ()

## Visitability
void | accept (AcyclicVisitor &)
Real | convexityAdjustment () const

## Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote > | quote_
TS * | termStructure_
Date | earliestDate_
Date | latestDate_
Date | maturityDate_
Date | latestRelevantDate_
Date | pillarDate_

## Detailed Description

RateHelper for bootstrapping over overnight compounding futures.