QuantLib_FxSwapRateHelper man page

FxSwapRateHelper — Rate helper for bootstrapping over Fx Swap rates.  

Synopsis

#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

Visitability

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

Author

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).

Fri Feb 10 2017 Version 1.9.1 QuantLib