BMASwapRateHelper Class Reference

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

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

Inheritance diagram for BMASwapRateHelper:

Public Member Functions

 BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index)
 
RateHelper interface
Real impliedQuote () const
 
void setTermStructure (YieldTermStructure *)
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
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 latestDate () const
 latest relevant date
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Member Functions

void initializeDates ()
 

Protected Attributes

Period tenor_
 
Natural settlementDays_
 
Calendar calendar_
 
Period bmaPeriod_
 
BusinessDayConvention bmaConvention_
 
DayCounter bmaDayCount_
 
boost::shared_ptr< BMAIndexbmaIndex_
 
boost::shared_ptr< IborIndexiborIndex_
 
boost::shared_ptr< BMASwapswap_
 
RelinkableHandle
< YieldTermStructure
termStructureHandle_
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

Rate helper for bootstrapping over BMA swap rates.