RateHelper Class Reference

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

Inheritance diagram for RateHelper:

Inheritance graph
[legend]
List of all members.

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 > &quote)
 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< Quotequote_
YieldTermStructuretermStructure_
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.