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

Detailed Description
Swap rate helper
- Todo:
- currency and day counter of Xibor should be added to obtain well-defined SwapRateHelper
- Warning:
- This class assumes that the settlement date does not change between calls of setTermStructure().
- Examples:
Public Member Functions | |
SwapRateHelper (const Handle< Quote > &rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention) | |
SwapRateHelper (Rate rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention) | |
SwapRateHelper (const Handle< Quote > &rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention, const DayCounter &floatingDayCount) | |
SwapRateHelper (Rate rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention, const DayCounter &floatingDayCount) | |
Real | impliedQuote () const |
Date | latestDate () const |
latest relevant date | |
void | setTermStructure (YieldTermStructure *) |
sets the term structure to be used for pricing | |
Protected Attributes | |
Integer | n_ |
TimeUnit | units_ |
Integer | settlementDays_ |
Calendar | calendar_ |
BusinessDayConvention | fixedConvention_ |
BusinessDayConvention | floatingConvention_ |
Frequency | fixedFrequency_ |
Frequency | floatingFrequency_ |
DayCounter | fixedDayCount_ |
DayCounter | floatingDayCount_ |
Date | settlement_ |
Date | latestDate_ |
boost::shared_ptr< VanillaSwap > | swap_ |
Handle< YieldTermStructure > | termStructureHandle_ |
Constructor & Destructor Documentation
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Member Function Documentation
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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. Implements RateHelper. |
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sets the term structure to be used for pricing
Reimplemented from RateHelper. |