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QuantLib_SwapRateHelper

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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