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QuantLib_SwapRateHelper
Langue: en
Version: 376069 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::SwapRateHelper -Rate helper for bootstrapping over swap rates.
SYNOPSIS
#include <ql/termstructures/yield/ratehelpers.hpp>
Inherits QuantLib::RelativeDateBootstrapHelper< YieldTermStructure >.
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 >())
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 >())
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 >())
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 >())
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
Period tenor_
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_
Detailed Description
Rate helper for bootstrapping over swap rates.
Possible enhancements
- use input SwapIndex to create the swap
Examples:
Bonds.cpp, and swapvaluation.cpp.
Author
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Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre