FraRateHelper Class Reference

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

Inheritance diagram for FraRateHelper:

Inheritance graph
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List of all members.

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.