bmaindex_(3)

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_

Detailed Description

Rate helper for bootstrapping over BMA swap rates.

Author

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