FraRateHelper Class Reference#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for FraRateHelper:
[legend]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.
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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
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Date | maturity () const |
| maturity date
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Member Function Documentation
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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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