A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
|
Rate helper for bootstrapping over swap rates. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
Inheritance diagram for SwapRateHelper:Public Member Functions | |
| SwapRateHelper (const Handle< Quote > &rate, const ext::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false) | |
| SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false) | |
| SwapRateHelper (Rate rate, const ext::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false) | |
| SwapRateHelper (Rate rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false) | |
RateHelper interface | |
| Real | impliedQuote () const |
| void | setTermStructure (YieldTermStructure *) |
SwapRateHelper inspectors | |
| Spread | spread () const |
| ext::shared_ptr< VanillaSwap > | swap () const |
| const Period & | forwardStart () const |
| Public Member Functions inherited from RelativeDateBootstrapHelper< TS > | |
| RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
| RelativeDateBootstrapHelper (Real quote) | |
| void | update () |
| Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| 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 | |
| Natural | settlementDays_ |
| Period | tenor_ |
| Pillar::Choice | pillarChoice_ |
| Calendar | calendar_ |
| BusinessDayConvention | fixedConvention_ |
| Frequency | fixedFrequency_ |
| DayCounter | fixedDayCount_ |
| ext::shared_ptr< IborIndex > | iborIndex_ |
| ext::shared_ptr< VanillaSwap > | swap_ |
| RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
| Handle< Quote > | spread_ |
| bool | endOfMonth_ |
| Period | fwdStart_ |
| Handle< YieldTermStructure > | discountHandle_ |
| RelinkableHandle< YieldTermStructure > | discountRelinkableHandle_ |
| void | accept (AcyclicVisitor &) |
| void | initializeDates () |
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_ |
Rate helper for bootstrapping over swap rates.
