RateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for RateHelper:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for rate helpers.

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 contains a Swap instrument for the time being.


Public Member Functions

 RateHelper (const RelinkableHandle< 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 (TermStructure *)
 sets the term structure to be used for pricing

virtual Date maturity () const =0
 maturity date

Observer interface
void update ()

Protected Attributes

RelinkableHandle< Quotequote_
TermStructuretermStructure_


Member Function Documentation

virtual void setTermStructure TermStructure  )  [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 DepositRateHelper, FraRateHelper, and SwapRateHelper.

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.


QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen