SwapRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Inheritance graph
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List of all members.

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:

swapvaluation.cpp.


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< VanillaSwapswap_
Handle< YieldTermStructuretermStructureHandle_


Constructor & Destructor Documentation

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
 

Deprecated:
use one of the other constructors

SwapRateHelper Rate  rate,
Integer  n,
TimeUnit  units,
Integer  settlementDays,
const Calendar calendar,
Frequency  fixedFrequency,
BusinessDayConvention  fixedConvention,
const DayCounter fixedDayCount,
Frequency  floatingFrequency,
BusinessDayConvention  floatingConvention
 

Deprecated:
use one of the other constructors


Member Function Documentation

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.

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.