- QuantLib
- SwapRateHelper
Rate helper for bootstrapping over swap rates. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >()) | |
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_ |
Handle< YieldTermStructure > | discountHandle_ |
RelinkableHandle < YieldTermStructure > | discountRelinkableHandle_ |
Rate helper for bootstrapping over swap rates.