fixedDayCount_ (3) - Linux Manuals

fixedDayCount_: Rate helper for bootstrapping over swap rates.

NAME

QuantLib::SwapRateHelper - Rate helper for bootstrapping over swap rates.

SYNOPSIS

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

Inherits QuantLib::RelativeDateRateHelper.

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)

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)

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)

SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)

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_

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

Generated automatically by Doxygen for QuantLib from the source code.