RateHelper Class Reference
#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for RateHelper:

Detailed Description
Base class for rate helpers.This class provides an abstraction for the instruments used to bootstrap a term structure. It is advised that a rate 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 rate helpers, though - only SwapRateHelper contains a Swap instrument for the time being.
Public Member Functions | |
RateHelper (const Handle< Quote > "e) | |
RateHelper (Real quote) | |
RateHelper interface | |
Real | quoteError () const |
Real | referenceQuote () const |
virtual Real | impliedQuote () const =0 |
virtual DiscountFactor | discountGuess () const |
virtual void | setTermStructure (YieldTermStructure *) |
sets the term structure to be used for pricing | |
virtual Date | latestDate () const =0 |
latest relevant date | |
Observer interface | |
void | update () |
Protected Attributes | |
Handle< Quote > | quote_ |
YieldTermStructure * | termStructure_ |
Member Function Documentation
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sets the term structure to be used for pricing
Reimplemented in FixedCouponBondHelper, DepositRateHelper, FraRateHelper, and SwapRateHelper. |
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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. Implemented in FixedCouponBondHelper, DepositRateHelper, FraRateHelper, FuturesRateHelper, and SwapRateHelper. |
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. Implements Observer. |