ratehelpers (3) - Linux Manuals

ratehelpers: deposit, FRA, futures, and swap rate helpers

Command to display ratehelpers manual in Linux: $ man 3 ratehelpers

NAME

ql/termstructures/yield/ratehelpers.hpp - deposit, FRA, futures, and swap rate helpers

SYNOPSIS

#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>

Classes

class FuturesRateHelper
Rate helper for bootstrapping over IborIndex futures prices.
class RelativeDateRateHelper
Rate helper with date schedule relative to the global evaluation date.
class DepositRateHelper
Rate helper for bootstrapping over deposit rates.
class FraRateHelper
Rate helper for bootstrapping over FRA rates.
class SwapRateHelper
Rate helper for bootstrapping over swap rates.
class BMASwapRateHelper
Rate helper for bootstrapping over BMA swap rates.

Typedefs

typedef BootstrapHelper< YieldTermStructure > RateHelper

Detailed Description

deposit, FRA, futures, and swap rate helpers

Author

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