DepositRateHelper Class Reference

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

#include <ratehelpers.hpp>

Inheritance diagram for DepositRateHelper:

Collaboration diagram for DepositRateHelper:

Public Member Functions
	DepositRateHelper (const std::variant< Rate, Handle< Quote > > &rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
	DepositRateHelper (const std::variant< Rate, Handle< Quote > > &rate, const ext::shared_ptr< IborIndex > &iborIndex)
	DepositRateHelper (const std::variant< Rate, Handle< Quote > > &rate, Date fixingDate, const ext::shared_ptr< IborIndex > &iborIndex)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
	~BootstrapHelper () override=default
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 More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Visitability
Date	fixingDate_
ext::shared_ptr< IborIndex >	iborIndex_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from RelativeDateBootstrapHelper< TS >
Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date	evaluationDate_
bool	updateDates_
Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quote >	quote_
TS *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over deposit rates.

Definition at line 92 of file ratehelpers.hpp.

Constructor & Destructor Documentation

DepositRateHelper() [1/3]

DepositRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		const Period &	tenor,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter
	)

Definition at line 179 of file ratehelpers.cpp.

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DepositRateHelper() [2/3]

DepositRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		const ext::shared_ptr< IborIndex > &	iborIndex
	)

Definition at line 194 of file ratehelpers.cpp.

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DepositRateHelper() [3/3]

DepositRateHelper	(	const std::variant< Rate, Handle< Quote > > &	rate,
		Date	fixingDate,
		const ext::shared_ptr< IborIndex > &	iborIndex
	)

Definition at line 201 of file ratehelpers.cpp.

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 209 of file ratehelpers.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 216 of file ratehelpers.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 242 of file ratehelpers.cpp.

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initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 227 of file ratehelpers.cpp.

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Member Data Documentation

fixingDate_

Date fixingDate_

private

Definition at line 117 of file ratehelpers.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 118 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 119 of file ratehelpers.hpp.