QuantLib 0.3.7
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Reference manual
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SwapRateHelper Class Reference#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for SwapRateHelper:
[legend]List of all members.
Detailed Description
Swap rate
- Warning:
- This class assumes that the settlement date does not change between calls of setTermStructure().
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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
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void | setTermStructure (TermStructure *) |
| sets the term structure to be used for pricing
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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< SimpleSwap > | swap_ |
RelinkableHandle< TermStructure > | termStructureHandle_ |
Constructor & Destructor Documentation
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- Deprecated:
- use the version with two BusinessDayConvention arguments
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- Deprecated:
- use the version with two BusinessDayConvention arguments
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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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