setTermStructure (3) - Linux Manuals

setTermStructure: Base helper class for bootstrapping.

NAME

QuantLib::BootstrapHelper - Base helper class for bootstrapping.

SYNOPSIS

#include <ql/termstructures/bootstraphelper.hpp>

Inherits QuantLib::Observer, and QuantLib::Observable.

Inherited by RelativeDateRateHelper.

Public Member Functions

BootstrapHelper (const Handle< Quote > &quote)

BootstrapHelper (Real quote)

BootstrapHelper interface

Real quoteError () const

Real quoteValue () const

bool quoteIsValid () const

virtual Real impliedQuote () const =0

virtual void setTermStructure (TS *)
sets the term structure to be used for pricing
virtual Date earliestDate () const
earliest relevant date
virtual Date latestDate () const
latest relevant date

Observer interface

virtual void update ()

Visitability

virtual void accept (AcyclicVisitor &)

Protected Attributes

Handle< Quote > quote_

TS * termStructure_

Date earliestDate_

Date latestDate_

Detailed Description

template<class TS> class QuantLib::BootstrapHelper< TS >

This class provides an abstraction for the instruments used to bootstrap a term structure.

It is advised that a bootstrap helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available rate helpers.

Member Function Documentation

void setTermStructure (TS * t) [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 in CdsHelper, ZciisInflationHelper, YyiisInflationHelper, and FixedRateBondHelper.

Date earliestDate () const [virtual]

earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Date latestDate () const [virtual]

latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Reimplemented in RelativeDateRateHelper.

Author

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