QuantLib_BMASwapRateHelper man page

BMASwapRateHelper — Rate helper for bootstrapping over BMA swap rates.  


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

Inherits RelativeDateBootstrapHelper< TS >.

Public Member Functions

BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index)

RateHelper interface

Real impliedQuote () const
void setTermStructure (YieldTermStructure *)


void accept (AcyclicVisitor &)

Protected Member Functions

void initializeDates ()

Protected Attributes

Period tenor_
Natural settlementDays_
Calendar calendar_
Period bmaPeriod_
BusinessDayConvention bmaConvention_
DayCounter bmaDayCount_
boost::shared_ptr< BMAIndex > bmaIndex_
boost::shared_ptr< IborIndex > iborIndex_
boost::shared_ptr< BMASwap > swap_
RelinkableHandle< YieldTermStructure > termStructureHandle_

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over BMA swap rates.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages bmaConvention_(3), bmaDayCount_(3), bmaIndex_(3), bmaPeriod_(3), BMASwapRateHelper(3), calendar_(3) and iborIndex_(3) are aliases of QuantLib_BMASwapRateHelper(3).

Wed Feb 7 2018 Version 1.10.1 QuantLib