QuantLib_FxSwapRateHelper man page

FxSwapRateHelper — Rate helper for bootstrapping over Fx Swap rates.


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

Inherits RelativeDateBootstrapHelper< TS >.

Public Member Functions

FxSwapRateHelper (const Handle< Quote > &fwdPoint, const Handle< Quote > &spotFx, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, bool isFxBaseCurrencyCollateralCurrency, const Handle< YieldTermStructure > &collateralCurve)

RateHelper interface

Real impliedQuote () const

void setTermStructure (YieldTermStructure *)

FxSwapRateHelper inspectors

Real spot () const

Period tenor () const

Natural fixingDays () const

Calendar calendar () const

BusinessDayConvention businessDayConvention () const

bool endOfMonth () const

bool isFxBaseCurrencyCollateralCurrency () const


void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over Fx Swap rates.

fwdFx = spotFx + fwdPoint isFxBaseCurrencyCollateralCurrency indicates if the base currency of the fx currency pair is the one used as collateral


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FxSwapRateHelper(3), isFxBaseCurrencyCollateralCurrency(3), spot(3) and tenor(3) are aliases of QuantLib_FxSwapRateHelper(3).

QuantLib Version 1.8.1 Fri Sep 23 2016