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

Detailed Description
Rate helper for bootstrapping over FRA rates.- Examples:
-
FRA.cpp, and swapvaluation.cpp.
Public Member Functions | |
FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural settlementDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, Natural fixingDays, const DayCounter &dayCounter) | |
FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural settlementDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, Natural fixingDays, const DayCounter &dayCounter) | |
Real | impliedQuote () const |
DiscountFactor | discountGuess () const |
void | setTermStructure (YieldTermStructure *) |
sets the term structure to be used for pricing |
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.