FixedRateBondHelper (3) - Linux Manuals

FixedRateBondHelper: fixed-coupon bond helper

NAME

QuantLib::FixedRateBondHelper - fixed-coupon bond helper

SYNOPSIS

#include <ql/termstructures/yield/bondhelpers.hpp>

Inherits BootstrapHelper< YieldTermStructure >.

Public Member Functions

FixedRateBondHelper (const Handle< Quote > &cleanPrice, Natural settlementDays, Real faceAmount, const Schedule &schedule, const std::vector< Rate > &coupons, const DayCounter &dayCounter, BusinessDayConvention paymentConv=Following, Real redemption=100.0, const Date &issueDate=Date())

FixedRateBondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< FixedRateBond > &bond)

BootstrapHelper interface

Real impliedQuote () const

void setTermStructure (YieldTermStructure *)
sets the term structure to be used for pricing

additional inspectors

boost::shared_ptr< FixedRateBond > bond () const

Visitability

void accept (AcyclicVisitor &)

Protected Attributes

boost::shared_ptr< FixedRateBond > bond_

RelinkableHandle< YieldTermStructure > termStructureHandle_

Detailed Description

fixed-coupon bond helper

Warning

This class assumes that the reference date does not change between calls of setTermStructure().

Examples:

Bonds.cpp, and FittedBondCurve.cpp.

Constructor & Destructor Documentation

FixedRateBondHelper (const Handle< Quote > & cleanPrice, const boost::shared_ptr< FixedRateBond > & bond)

Warning

Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.

Member Function Documentation

void setTermStructure (YieldTermStructure *) [virtual]

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YieldTermStructure >.

Author

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