SwapRateHelper Class Reference

Rate helper for bootstrapping over swap rates. More...

#include <ql/termstructures/yield/ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
 
 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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
 
 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, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
 
 SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
 
RateHelper interface
Real impliedQuote () const
 
void setTermStructure (YieldTermStructure *)
 
SwapRateHelper inspectors
Spread spread () const
 
boost::shared_ptr< VanillaSwapswap () const
 
const PeriodforwardStart () const
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual void setTermStructure (TS *)
 sets the term structure to be used for pricing More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date latestDate () const
 latest relevant date More...
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

void initializeDates ()
 

Protected Attributes

Period tenor_
 
Calendar calendar_
 
BusinessDayConvention fixedConvention_
 
Frequency fixedFrequency_
 
DayCounter fixedDayCount_
 
boost::shared_ptr< IborIndexiborIndex_
 
boost::shared_ptr< VanillaSwapswap_
 
RelinkableHandle
< YieldTermStructure
termStructureHandle_
 
Handle< Quotespread_
 
Period fwdStart_
 
Handle< YieldTermStructurediscountHandle_
 
RelinkableHandle
< YieldTermStructure
discountRelinkableHandle_
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

Rate helper for bootstrapping over swap rates.

Possible enhancements:
use input SwapIndex to create the swap
Examples:
Bonds.cpp, and swapvaluation.cpp.