quantlib.termstructures.yields.ois_rate_helper.

OISRateHelper

class OISRateHelper(Natural settlement_days, Period tenor, Quote fixed_rate, OvernightIndex overnight_index, HandleYieldTermStructure discounting_curve=HandleYieldTermStructure(), bool telescopic_value_dates=False, Integer payment_lag=0, BusinessDayConvention payment_convention=Following, Frequency payment_frequency=Frequency.Annual, Calendar payment_calendar=Calendar(), Period forward_start=Period(0, Days), Spread overnight_spread=0.0, Pillar pillar=Pillar.LastRelevantDate, Date custom_pillar_date=Date(), RateAveraging averaging_method=RateAveraging.Compound, end_of_month=None, fixed_payment_frequency=None, Calendar fixed_calendar=Calendar(), Natural lookback_days=Null[Natural](), Natural lockout_days=0, bool apply_observation_shift=False)

Bases: RelativeDateRateHelper

Attributes:

earliest_date

implied_quote

latest_date

maturity_date

quote

Methods

from_dates(cls, Date start_date, ...[, ...])
update(self)