SwapRateHelper Class Reference#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for SwapRateHelper:
[legend]List of all members.
Detailed Description
Swap rate
- Todo:
- Currency and dayCounter of Xibor should be added to obtain well define SwapRateHelper
- Warning:
- This class assumes that the settlement date does not change between calls of setTermStructure().
|
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) |
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_ |
Date | settlement_ |
Date | latestDate_ |
boost::shared_ptr< SimpleSwap > | swap_ |
Handle< YieldTermStructure > | termStructureHandle_ |
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. |
|
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. |
|