QuantLib_BMASwapRateHelper man page

BMASwapRateHelper — Rate helper for bootstrapping over BMA swap rates.  

Synopsis

#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 *)

Visitability

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.

Author

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).

Fri Sep 1 2017 Version 1.10.1 QuantLib