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QuantLib_ZeroCouponInflationSwapHelper
Langue: en
Version: 378233 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::ZeroCouponInflationSwapHelper -Zero-coupon inflation-swap bootstrap helper.
SYNOPSIS
#include <ql/termstructures/inflation/inflationhelpers.hpp>
Inherits BootstrapHelper< ZeroInflationTermStructure >.
Public Member Functions
ZeroCouponInflationSwapHelper (const Handle< Quote > "e, const Period &swapObsLag, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< ZeroInflationIndex > &zii)
void setTermStructure (ZeroInflationTermStructure *)
sets the term structure to be used for pricing
Real impliedQuote () const
Protected Attributes
Period swapObsLag_
Date maturity_
Calendar calendar_
BusinessDayConvention paymentConvention_
DayCounter dayCounter_
boost::shared_ptr< ZeroInflationIndex > zii_
boost::shared_ptr< ZeroCouponInflationSwap > zciis_
Detailed Description
Zero-coupon inflation-swap bootstrap helper.
Member Function Documentation
void setTermStructure (ZeroInflationTermStructure *) [virtual]
sets the term structure to be used for pricing Warning
- Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.
Reimplemented from BootstrapHelper< ZeroInflationTermStructure >.
Author
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