SwapRateHelper Class Reference
Rate helper for bootstrapping over swap rates. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
Inheritance diagram for SwapRateHelper:

Public Member Functions | |
| SwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
| SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
| SwapRateHelper (Rate rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
| SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
RateHelper interface | |
| Real | impliedQuote () const |
| void | setTermStructure (YieldTermStructure *) |
SwapRateHelper inspectors | |
| Spread | spread () const |
| boost::shared_ptr< VanillaSwap > | swap () const |
| const Period & | forwardStart () const |
Visitability | |
| void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| void | initializeDates () |
Protected Attributes | |
| Period | tenor_ |
| Calendar | calendar_ |
| BusinessDayConvention | fixedConvention_ |
| Frequency | fixedFrequency_ |
| DayCounter | fixedDayCount_ |
| boost::shared_ptr< IborIndex > | iborIndex_ |
| boost::shared_ptr< VanillaSwap > | swap_ |
|
RelinkableHandle < YieldTermStructure > | termStructureHandle_ |
| Handle< Quote > | spread_ |
| Period | fwdStart_ |
| Handle< YieldTermStructure > | discountHandle_ |
|
RelinkableHandle < YieldTermStructure > | discountRelinkableHandle_ |
Detailed Description
Rate helper for bootstrapping over swap rates.
- Possible enhancements:
- use input SwapIndex to create the swap
- Examples:
-
Bonds.cpp, and swapvaluation.cpp.