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

Rate helper for bootstrapping over BMA swap rates. More...

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

+ Inheritance diagram for BMASwapRateHelper:

Public Member Functions

 BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index)
 
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 ()
 

Protected Member Functions

void initializeDates ()
 

Protected Attributes

Period tenor_
 
Natural settlementDays_
 
Calendar calendar_
 
Period bmaPeriod_
 
BusinessDayConvention bmaConvention_
 
DayCounter bmaDayCount_
 
boost::shared_ptr< BMAIndexbmaIndex_
 
boost::shared_ptr< IborIndexiborIndex_
 
boost::shared_ptr< BMASwapswap_
 
RelinkableHandle< YieldTermStructuretermStructureHandle_
 
- 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_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Rate helper for bootstrapping over BMA swap rates.