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QuantLib_FraRateHelper

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

Generated automatically by Doxygen for QuantLib from the source code.