SwapRateHelper Class Reference

#include <ql/termstructures/yieldcurves/ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Inheritance graph
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List of all members.

Detailed Description

Rate helper for bootstrapping over swap rates.
Examples:

swapvaluation.cpp.


Public Member Functions

 SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, Natural settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &index)
 SwapRateHelper (Rate rate, const Period &tenor, Natural settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &index)
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
 sets the term structure to be used for pricing

Protected Member Functions

void initializeDates ()

Protected Attributes

Period tenor_
Natural settlementDays_
Calendar calendar_
BusinessDayConvention fixedConvention_
Frequency fixedFrequency_
DayCounter fixedDayCount_
boost::shared_ptr< IborIndexindex_
boost::shared_ptr< VanillaSwap > swap_
RelinkableHandle< YieldTermStructuretermStructureHandle_


Member Function Documentation

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.