SwapRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Inheritance graph
[legend]
List of all members.

Detailed Description

Swap rate

Warning:
This class assumes that the settlement date does not change between calls of setTermStructure().


Public Member Functions

 SwapRateHelper (const RelinkableHandle< Quote > &rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention)
 SwapRateHelper (Rate rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, const DayCounter &fixedDayCount, Frequency floatingFrequency, BusinessDayConvention floatingConvention)
 SwapRateHelper (const RelinkableHandle< Quote > &rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, Frequency fixedFrequency, bool fixedIsAdjusted, const DayCounter &fixedDayCount, Frequency floatingFrequency)
 SwapRateHelper (Rate rate, Integer n, TimeUnit units, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, Frequency fixedFrequency, bool fixedIsAdjusted, const DayCounter &fixedDayCount, Frequency floatingFrequency)
Real impliedQuote () const
Date maturity () const
 maturity date

void setTermStructure (TermStructure *)
 sets the term structure to be used for pricing


Protected Attributes

Integer n_
TimeUnit units_
Integer settlementDays_
Calendar calendar_
BusinessDayConvention fixedConvention_
BusinessDayConvention floatingConvention_
Frequency fixedFrequency_
Frequency floatingFrequency_
DayCounter fixedDayCount_
Date settlement_
boost::shared_ptr< SimpleSwapswap_
RelinkableHandle< TermStructuretermStructureHandle_


Constructor & Destructor Documentation

SwapRateHelper const RelinkableHandle< Quote > &  rate,
Integer  n,
TimeUnit  units,
Integer  settlementDays,
const Calendar calendar,
BusinessDayConvention  convention,
Frequency  fixedFrequency,
bool  fixedIsAdjusted,
const DayCounter fixedDayCount,
Frequency  floatingFrequency
 

Deprecated:
use the version with two BusinessDayConvention arguments

SwapRateHelper Rate  rate,
Integer  n,
TimeUnit  units,
Integer  settlementDays,
const Calendar calendar,
BusinessDayConvention  convention,
Frequency  fixedFrequency,
bool  fixedIsAdjusted,
const DayCounter fixedDayCount,
Frequency  floatingFrequency
 

Deprecated:
use the version with two BusinessDayConvention arguments


Member Function Documentation

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 from RateHelper.


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