FraRateHelper Class Reference

Rate helper for bootstrapping over FRA rates. More...

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

Inheritance diagram for FraRateHelper:

Public Member Functions
	FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (Rate rate, Natural monthsToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (Rate rate, Period periodToStart, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (const Handle< Quote > &rate, Natural immOffsetStart, Natural immOffsetEnd, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
	FraRateHelper (Rate rate, Natural immOffsetStart, Natural immOffsetEnd, const ext::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool useIndexedCoupon=true)
RateHelper interface
Real	impliedQuote () const
void	setTermStructure (YieldTermStructure *)
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const Handle< Quote > &quote)
	RelativeDateBootstrapHelper (Real quote)
void	update ()
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const Handle< Quote > &quote)
	BootstrapHelper (Real quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing More...
virtual Date	earliestDate () const
	earliest relevant date More...
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date More...
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
void	notifyObservers ()

Visitability
void	accept (AcyclicVisitor &)

Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > >	set_type
typedef set_type::iterator	iterator
Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over FRA rates.

Examples

FRA.cpp, and MulticurveBootstrapping.cpp.