FraRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for FraRateHelper:

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Detailed Description

Forward rate agreement.

Warning:
This class assumes that the reference date does not change between calls of setTermStructure().
Todo:
convexity adjustment should be implemented.
Examples:

swapvaluation.cpp.


Public Member Functions

 FraRateHelper (const Handle< Quote > &rate, Integer monthsToStart, Integer monthsToEnd, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
 FraRateHelper (Rate rate, Integer monthsToStart, Integer monthsToEnd, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
Real impliedQuote () const
DiscountFactor discountGuess () const
void setTermStructure (YieldTermStructure *)
 sets the term structure to be used for pricing
Date latestDate () const
 latest relevant date


Member Function Documentation

void setTermStructure YieldTermStructure  )  [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 rate helpers be used only in term structure constructors, setting the term structure to this, i.e., the one being constructed.

Reimplemented from RateHelper.

Date latestDate  )  const [virtual]
 

latest relevant date

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

Implements RateHelper.


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