SwapRateHelper Class Reference

#include <ratehelpers.hpp>

Inheritance diagram for SwapRateHelper:

Inheritance graph
[legend]
List of all members.

Detailed Description

Swap rate.

Warning:
This class assumes that the settlement date does not change between calls of setTermStructure().


Public Member Functions

 SwapRateHelper (const RelinkableHandle< MarketElement > &rate, int n, TimeUnit units, int settlementDays, const Calendar &calendar, RollingConvention convention, int fixedFrequency, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floatingFrequency)
 SwapRateHelper (double rate, int n, TimeUnit units, int settlementDays, const Calendar &calendar, RollingConvention convention, int fixedFrequency, bool fixedIsAdjusted, const DayCounter &fixedDayCount, int floatingFrequency)
double impliedQuote () const
Date maturity () const
 maturity date

void setTermStructure (TermStructure *)
 sets the term structure to be used for pricing


Protected Attributes

int n_
TimeUnit units_
int settlementDays_
Calendar calendar_
RollingConvention convention_
int fixedFrequency_
int floatingFrequency_
bool fixedIsAdjusted_
DayCounter fixedDayCount_
Date settlement_
Handle< Instruments::SimpleSwapswap_
RelinkableHandle< TermStructuretermStructureHandle_


Member Function Documentation

void setTermStructure TermStructure  )  [virtual]
 

sets the term structure to be used for pricing

Warning:
Being a pointer and not a Handle, 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.


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
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