RateHelper Class Reference
#include <ql/termstructures/yieldcurves/piecewiseyieldcurve.hpp>
Inheritance diagram for RateHelper:

Detailed Description
Base helper class for yield-curve bootstrapping.This class provides an abstraction for the instruments used to bootstrap a term structure. It is advised that a rate helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available rate helpers, though - only SwapRateHelper and FixedCouponBondHelper contain their corresponding instrument for the time being.
Public Member Functions | |
RateHelper (const Handle< Quote > "e) | |
RateHelper (Real quote) | |
RateHelper interface | |
Real | quoteError () const |
Real | referenceQuote () const |
virtual Real | impliedQuote () const=0 |
virtual DiscountFactor | discountGuess () const |
virtual void | setTermStructure (YieldTermStructure *) |
sets the term structure to be used for pricing | |
virtual Date | earliestDate () const |
earliest relevant date | |
virtual Date | latestDate () const |
latest relevant date | |
Observer interface | |
virtual void | update () |
Protected Attributes | |
Handle< Quote > | quote_ |
YieldTermStructure * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Member Function Documentation
virtual 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 in FixedCouponBondHelper, DepositRateHelper, FraRateHelper, and SwapRateHelper.
virtual Date earliestDate | ( | ) | const [virtual] |
earliest relevant date
The earliest date at which discounts are needed by the helper in order to provide a quote.
virtual 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.
virtual void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in RelativeDateRateHelper.