Rate helper for bootstrapping over BMA swap rates. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
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 &) |
![]() | |
RelativeDateBootstrapHelper (const Handle< Quote > "e) | |
RelativeDateBootstrapHelper (Real quote) | |
void | update () |
![]() | |
BootstrapHelper (const Handle< Quote > "e) | |
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... | |
![]() | |
Observer (const Observer &) | |
Observer & | operator= (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 () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (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< BMAIndex > | bmaIndex_ |
boost::shared_ptr< IborIndex > | iborIndex_ |
boost::shared_ptr< BMASwap > | swap_ |
RelinkableHandle< YieldTermStructure > | termStructureHandle_ |
![]() | |
Date | evaluationDate_ |
![]() | |
Handle< Quote > | quote_ |
TS * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Additional Inherited Members | |
![]() | |
typedef std::set< boost::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Rate helper for bootstrapping over BMA swap rates.