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().
|
Public Member Functions |
| SwapRateHelper (const RelinkableHandle< Quote > &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< SimpleSwap > | swap_ |
RelinkableHandle< TermStructure > | termStructureHandle_ |
Member Function Documentation
|
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. |
|