fixedConvention_ (3) Linux Manual Page
QuantLib::SwapRateHelper – Rate helper for bootstrapping over swap rates.
Synopsis
#include <ql/termstructures/yield/ratehelpers.hpp>Inherits QuantLib::RelativeDateRateHelper.
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)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)
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)
SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)
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_
Detailed Description
Rate helper for bootstrapping over swap rates. Possible enhancements
- use input SwapIndex to create the swap
Examples:
Bonds.cpp, and swapvaluation.cpp.