SwapRateHelper Class Reference

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

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

Inheritance diagram for SwapRateHelper:

Public Member Functions
	SwapRateHelper (const std::variant< Rate, Handle< Quote > > &rate, const ext::shared_ptr< SwapIndex > &swapIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt)
	SwapRateHelper (const std::variant< Rate, Handle< Quote > > &rate, const Period &tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, Handle< Quote > spread={}, const Period &fwdStart=0 *Days, Handle< YieldTermStructure > discountingCurve={}, Natural settlementDays=Null< Natural >(), Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt, const ext::optional< BusinessDayConvention > &floatConvention=ext::nullopt)
	SwapRateHelper (const std::variant< Rate, Handle< Quote > > &rate, const Date &startDate, const Date &endDate, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, const ext::shared_ptr< IborIndex > &iborIndex, Handle< Quote > spread={}, Handle< YieldTermStructure > discountingCurve={}, Pillar::Choice pillar=Pillar::LastRelevantDate, Date customPillarDate=Date(), bool endOfMonth=false, const ext::optional< bool > &useIndexedCoupons=ext::nullopt, const ext::optional< BusinessDayConvention > &floatConvention=ext::nullopt)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
	sets the term structure to be used for pricing
SwapRateHelper inspectors
Spread	spread () const
ext::shared_ptr< VanillaSwap >	swap () const
const Period &	forwardStart () const
Public Member Functions inherited from RelativeDateBootstrapHelper< YieldTermStructure >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< YieldTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
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
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
Natural	settlementDays_
Period	tenor_
Date	startDate_
Date	endDate_
Pillar::Choice	pillarChoice_
Calendar	calendar_
BusinessDayConvention	fixedConvention_
Frequency	fixedFrequency_
DayCounter	fixedDayCount_
ext::shared_ptr< IborIndex >	iborIndex_
ext::shared_ptr< VanillaSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< Quote >	spread_
bool	endOfMonth_
Period	fwdStart_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
ext::optional< bool >	useIndexedCoupons_
ext::optional< BusinessDayConvention >	floatConvention_
void	accept (AcyclicVisitor &) override
void	initialize (const ext::shared_ptr< IborIndex > &iborIndex, Date customPillarDate)
void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Date	evaluationDate_
bool	updateDates_
Handle< Quote >	quote_
YieldTermStructure *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over swap rates.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YieldTermStructure >.

setTermStructure()

void setTermStructure ( YieldTermStructure * )

overridevirtual

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 from BootstrapHelper< YieldTermStructure >.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from BootstrapHelper< YieldTermStructure >.

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< YieldTermStructure >.