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QuantLib_BMASwapRateHelper
Langue: en
Version: 378995 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::BMASwapRateHelper -Rate helper for bootstrapping over BMA swap rates.
SYNOPSIS
#include <ql/termstructures/yield/ratehelpers.hpp>
Inherits QuantLib::RelativeDateBootstrapHelper< YieldTermStructure >.
Public Member Functions
BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
Visitability
void accept (AcyclicVisitor &)
Protected Member Functions
void initializeDates ()
Protected Attributes
Period tenor_
Natural settlementDays_
Calendar calendar_
Period bmaPeriod_
BusinessDayConvention bmaConvention_
DayCounter bmaDayCount_
boost::shared_ptr< BMAIndex > bmaIndex_
boost::shared_ptr< IborIndex > iborIndex_
boost::shared_ptr< BMASwap > swap_
RelinkableHandle< YieldTermStructure > termStructureHandle_
Detailed Description
Rate helper for bootstrapping over BMA swap rates.
Author
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