FraRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for FraRateHelper:

Inheritance graph
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List of all members.

Detailed Description

Forward rate agreement.

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

Todo:
convexity adjustment should be implemented.


Public Member Functions

 FraRateHelper (const RelinkableHandle< Quote > &rate, Integer monthsToStart, Integer monthsToEnd, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
 FraRateHelper (Rate rate, Integer monthsToStart, Integer monthsToEnd, Integer settlementDays, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
Real impliedQuote () const
DiscountFactor discountGuess () const
void setTermStructure (TermStructure *)
 sets the term structure to be used for pricing

Date maturity () const
 maturity date


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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