QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | List of all members
FraRateHelper Class Reference

Rate helper for bootstrapping over FRA rates. More...

#include <ql/termstructures/yield/ratehelpers.hpp>

+ Inheritance diagram for FraRateHelper:

Public Member Functions

 FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (Rate rate, Natural monthsToStart, Natural monthsToEnd, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (const Handle< Quote > &rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (Rate rate, Natural monthsToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (const Handle< Quote > &rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (Rate rate, Period periodToStart, Natural lengthInMonths, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (const Handle< Quote > &rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
 FraRateHelper (Rate rate, Period periodToStart, const boost::shared_ptr< IborIndex > &iborIndex, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date())
 
RateHelper interface
Real impliedQuote () const
 
void setTermStructure (YieldTermStructure *)
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual void setTermStructure (TS *)
 sets the term structure to be used for pricing More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date maturityDate () const
 instrument's maturity date
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Rate helper for bootstrapping over FRA rates.

Examples:
FRA.cpp, and swapvaluation.cpp.