BootstrapHelper< TS > Class Template Referenceabstract

Base helper class for bootstrapping. More...

#include <ql/termstructures/bootstraphelper.hpp>

Inheritance diagram for BootstrapHelper< TS >:

Public Member Functions

 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
BootstrapHelper interface
const Handle< Quote > & quote () const
 
virtual Real impliedQuote () const =0
 
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...
 
Observer interface
virtual void update ()
 
Visitability
virtual void accept (AcyclicVisitor &)
 
- 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 Attributes

Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

template<class TS>
class QuantLib::BootstrapHelper< TS >

Base helper class for bootstrapping.

This class provides an abstraction for the instruments used to bootstrap a term structure.

It is advised that a bootstrap helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available bootstrap helpers.

Member Function Documentation

void setTermStructure ( TS *  t)
virtual

sets the term structure to be used for pricing

Warning:
Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented in YearOnYearInflationSwapHelper, YoYOptionletHelper, and ZeroCouponInflationSwapHelper.

Date earliestDate ( ) const
virtual

earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

Date latestDate ( ) const
virtual

latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.