- QuantLib
- BootstrapHelper
Base helper class for bootstrapping. More...
#include <ql/termstructures/bootstraphelper.hpp>
Public Member Functions | |
BootstrapHelper (const Handle< Quote > "e) | |
BootstrapHelper (Real quote) | |
BootstrapHelper interface | |
const Handle< Quote > & | quote () const |
virtual Real | impliedQuote () const =0 |
Real | quoteError () const |
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_ |
Base helper class for bootstrapping.
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 bootstrap helpers.
void setTermStructure | ( | TS * | t | ) | [virtual] |
sets the term structure to be used for pricing
Reimplemented in YearOnYearInflationSwapHelper, YoYOptionletHelper, and ZeroCouponInflationSwapHelper.
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 RelativeDateBootstrapHelper< TS >, and CdsHelper.