BMASwapRateHelper (3) Linux Manual Page
QuantLib::BMASwapRateHelper – Rate helper for bootstrapping over BMA swap rates.
Synopsis
#include <ql/termstructures/yield/ratehelpers.hpp>Inherits QuantLib::RelativeDateRateHelper.
Public Member Functions
BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index)RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
Visitability
void accept (AcyclicVisitor &)
Protected Member Functions
void initializeDates ()Protected Attributes
Period tenor_Natural settlementDays_
Calendar calendar_
Period bmaPeriod_
BusinessDayConvention bmaConvention_
DayCounter bmaDayCount_
boost::shared_ptr< BMAIndex > bmaIndex_
boost::shared_ptr< IborIndex > iborIndex_
boost::shared_ptr< BMASwap > swap_
RelinkableHandle< YieldTermStructure > termStructureHandle_