QuantLib_SwapRateHelper man page

SwapRateHelper — Rate helper for bootstrapping over swap rates.  

Synopsis

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

Inherits RelativeDateBootstrapHelper< TS >.

Public Member Functions

SwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
SwapRateHelper (Rate rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())

RateHelper interface

Real impliedQuote () const
void setTermStructure (YieldTermStructure *)

SwapRateHelper inspectors

Spread spread () const
boost::shared_ptr< VanillaSwap > swap () const
const Period & forwardStart () const

Visitability

void accept (AcyclicVisitor &)

Protected Member Functions

void initializeDates ()

Protected Attributes

Natural settlementDays_
Period tenor_
Pillar::Choice pillarChoice_
Calendar calendar_
BusinessDayConvention fixedConvention_
Frequency fixedFrequency_
DayCounter fixedDayCount_
boost::shared_ptr< IborIndex > iborIndex_
boost::shared_ptr< VanillaSwap > swap_
RelinkableHandle< YieldTermStructure > termStructureHandle_
Handle< Quote > spread_
Period fwdStart_
Handle< YieldTermStructure > discountHandle_
RelinkableHandle< YieldTermStructure > discountRelinkableHandle_

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over swap rates.

Examples: Bonds.cpp, and swapvaluation.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

fixedConvention_(3), fixedDayCount_(3), fixedFrequency_(3), forwardStart(3), pillarChoice_(3) and SwapRateHelper(3) are aliases of QuantLib_SwapRateHelper(3).

Fri Jun 2 2017 Version 1.10 QuantLib