BootstrapHelper< TS > Class Template Reference

Base helper class for bootstrapping. More...

#include <ql/termstructures/bootstraphelper.hpp>

Inheritance diagram for BootstrapHelper< TS >:

Public Member Functions
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
BootstrapHelper interface
const Handle< Quote > &	quote () const
virtual Real	impliedQuote () const =0
Real	quoteError () const
virtual void	setTermStructure (TS *)
	sets the term structure to be used for pricing
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
Observer interface
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Visitability
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_
virtual void	accept (AcyclicVisitor &)

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

template<class TS>
class QuantLib::BootstrapHelper< TS >

Base helper class for bootstrapping.

This class provides an abstraction for the instruments used to bootstrap a term structure.

It is advised that a bootstrap helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available bootstrap helpers.

Member Function Documentation

setTermStructure()

template<class TS>

void setTermStructure ( TS * t )

virtual

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, 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 this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented in ArithmeticOISRateHelper, BMASwapRateHelper, BondHelper, CdsHelper, CrossCurrencyBasisSwapRateHelperBase, DepositRateHelper, FraRateHelper, FxSwapRateHelper, OISRateHelper, OvernightIndexFutureRateHelper, SwapRateHelper, YearOnYearInflationSwapHelper, YoYOptionletHelper, and ZeroCouponInflationSwapHelper.

earliestDate()

template<class TS>

Date earliestDate ( ) const

virtual

earliest relevant date

The earliest date at which data are needed by the helper in order to provide a quote.

latestRelevantDate()

template<class TS>

Date latestRelevantDate ( ) const

virtual

latest relevant date

The latest date at which data are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.

latestDate()

template<class TS>

Date latestDate ( ) const

virtual

latest date

equal to pillarDate()

update()

template<class TS>

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Reimplemented in CdsHelper, RelativeDateBootstrapHelper< TS >, RelativeDateBootstrapHelper< DefaultProbabilityTermStructure >, RelativeDateBootstrapHelper< YieldTermStructure >, RelativeDateBootstrapHelper< YoYInflationTermStructure >, and RelativeDateBootstrapHelper< ZeroInflationTermStructure >.