ratehelpers.hpp

Langue: en

Autres versions - même langue

Version: 382422 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/termstructures/yield/ratehelpers.hpp -

deposit, FRA, futures, and swap rate helpers

SYNOPSIS


#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>

Classes


class FuturesRateHelper
Rate helper for bootstrapping over IborIndex futures prices.
class DepositRateHelper
Rate helper for bootstrapping over deposit rates.
class FraRateHelper
Rate helper for bootstrapping over FRA rates.
class SwapRateHelper
Rate helper for bootstrapping over swap rates.
class BMASwapRateHelper
Rate helper for bootstrapping over BMA swap rates.

Typedefs


typedef BootstrapHelper< YieldTermStructure > RateHelper

typedef RelativeDateBootstrapHelper< YieldTermStructure > RelativeDateRateHelper

Detailed Description

deposit, FRA, futures, and swap rate helpers

Author

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