SwapRateHelper Class Reference

Rate helper for bootstrapping over swap rates. More...

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

Inheritance diagram for SwapRateHelper:

List of all members.

Public Member Functions

 SwapRateHelper (const Handle< Quote > &rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)
 SwapRateHelper (const Handle< Quote > &rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)
 SwapRateHelper (Rate rate, const Period &tenor, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)
 SwapRateHelper (Rate rate, const boost::shared_ptr< SwapIndex > &swapIndex, const Handle< Quote > &spread=Handle< Quote >(), const Period &fwdStart=0 *Days)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
SwapRateHelper inspectors
Spread spread () const
boost::shared_ptr< VanillaSwapswap () const
const PeriodforwardStart () const
Visitability
void accept (AcyclicVisitor &)

Protected Member Functions

void initializeDates ()

Protected Attributes

Period tenor_
Calendar calendar_
BusinessDayConvention fixedConvention_
Frequency fixedFrequency_
DayCounter fixedDayCount_
boost::shared_ptr< IborIndexiborIndex_
boost::shared_ptr< VanillaSwapswap_
RelinkableHandle
< YieldTermStructure
termStructureHandle_
Handle< Quotespread_
Period fwdStart_


Detailed Description

Rate helper for bootstrapping over swap rates.

Possible enhancements:
use input SwapIndex to create the swap
Examples:

Bonds.cpp, and swapvaluation.cpp.