FraRateHelper (3) Linux Manual Page
QuantLib::FraRateHelper – Rate helper for bootstrapping over FRA rates.
Synopsis
#include <ql/termstructures/yield/ratehelpers.hpp>Inherits QuantLib::RelativeDateRateHelper.
Public Member Functions
FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (Rate rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
FraRateHelper (Rate rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
Visitability
void accept (AcyclicVisitor &)
Detailed Description
Rate helper for bootstrapping over FRA rates.Examples:
FRA.cpp, and swapvaluation.cpp.