OICCBSHelper Class Reference

Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads. More...

#include <qle/termstructures/oiccbasisswaphelper.hpp>

Inheritance diagram for OICCBSHelper:

Public Member Functions
	OICCBSHelper (Natural settlementDays, const Period &term, const QuantLib::ext::shared_ptr< OvernightIndex > &payIndex, const Period &payTenor, const QuantLib::ext::shared_ptr< OvernightIndex > &recIndex, const Period &recTenor, const Handle< Quote > &spreadQuote, const Handle< YieldTermStructure > &fixedDiscountCurve, bool spreadQuoteOnPayLeg, bool fixedDiscountOnPayLeg)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
inspectors
QuantLib::ext::shared_ptr< OvernightIndexedCrossCcyBasisSwap >	swap () const

Visitability
Natural	settlementDays_
Period	term_
QuantLib::ext::shared_ptr< OvernightIndex >	payIndex_
Period	payTenor_
QuantLib::ext::shared_ptr< OvernightIndex >	recIndex_
Period	recTenor_
Handle< YieldTermStructure >	fixedDiscountCurve_
bool	spreadQuoteOnPayLeg_
bool	fixedDiscountOnPayLeg_
QuantLib::ext::shared_ptr< OvernightIndexedCrossCcyBasisSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping over Overnight Indexed CC Basis Swap Spreads.