FraRateHelper Class Reference

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

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

Inheritance diagram for FraRateHelper:

List of all members.

Public Member Functions

 FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
 FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
 FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
 FraRateHelper (Rate rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex)
 FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
 FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
 FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
 FraRateHelper (Rate rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex)
RateHelper interface
Real impliedQuote () const
void setTermStructure (YieldTermStructure *)
Visitability
void accept (AcyclicVisitor &)


Detailed Description

Rate helper for bootstrapping over FRA rates.
Examples:

FRA.cpp, and swapvaluation.cpp.