QuantLib_FraRateHelper man page

FraRateHelper — Rate helper for bootstrapping over FRA rates.

Synopsis

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

Inherits RelativeDateBootstrapHelper< TS >.

Public Member Functions

FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (Rate rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

FraRateHelper (Rate rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

RateHelper interface

Real impliedQuote () const

void setTermStructure (YieldTermStructure *)

Visitability

void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over FRA rates.

Examples: FRA.cpp, and swapvaluation.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FraRateHelper(3) is an alias of QuantLib_FraRateHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib