FixedCouponBondHelper Class Reference

#include <ql/TermStructures/bondhelpers.hpp>

Inheritance diagram for FixedCouponBondHelper:

Inheritance graph
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List of all members.

Detailed Description

fixed-coupon bond helper

Warning:
This class assumes that the reference date does not change between calls of setTermStructure().


Public Member Functions

 FixedCouponBondHelper (const Handle< Quote > &cleanPrice, const Date &issueDate, const Date &datedDate, const Date &maturityDate, Integer settlementDays, const std::vector< Rate > &coupons, Frequency frequency, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention convention=Following, Real redemption=100.0, const Date &stub=Date(), bool fromEnd=true)
 FixedCouponBondHelper (const Handle< Quote > &cleanPrice, const Date &issueDate, const Date &datedDate, const Date &maturityDate, Integer settlementDays, const std::vector< Rate > &coupons, Frequency frequency, const Calendar &calendar, const DayCounter &dayCounter, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &stub=Date(), bool fromEnd=true)
Real impliedQuote () const
Date latestDate () const
 latest relevant date
void setTermStructure (YieldTermStructure *)
 sets the term structure to be used for pricing

Protected Attributes

Date issueDate_
Date datedDate_
Date maturityDate_
Integer settlementDays_
std::vector< Ratecoupons_
Frequency frequency_
DayCounter dayCounter_
Calendar calendar_
BusinessDayConvention accrualConvention_
BusinessDayConvention paymentConvention_
Real redemption_
Date stub_
bool fromEnd_
Date settlement_
Date latestDate_
boost::shared_ptr< FixedCouponBondbond_
Handle< YieldTermStructuretermStructureHandle_


Constructor & Destructor Documentation

FixedCouponBondHelper const Handle< Quote > &  cleanPrice,
const Date issueDate,
const Date datedDate,
const Date maturityDate,
Integer  settlementDays,
const std::vector< Rate > &  coupons,
Frequency  frequency,
const DayCounter dayCounter,
const Calendar calendar,
BusinessDayConvention  convention = Following,
Real  redemption = 100.0,
const Date stub = Date(),
bool  fromEnd = true
 

Deprecated:
use the other constructor


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.