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QuantLib_FraRateHelper
Langue: en
Version: 374846 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FraRateHelper -Rate helper for bootstrapping over FRA rates.
SYNOPSIS
#include <ql/termstructures/yield/ratehelpers.hpp>
Inherits QuantLib::RelativeDateBootstrapHelper< YieldTermStructure >.
Public Member Functions
FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (Rate rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (Rate rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
Visitability
void accept (AcyclicVisitor &)
Detailed Description
Rate helper for bootstrapping over FRA rates.
Examples:
FRA.cpp, and swapvaluation.cpp.
Author
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Contenus ©2006-2024 Benjamin Poulain
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