Base helper class for bootstrapping. More...
#include <bootstraphelper.hpp>
Inheritance diagram for BootstrapHelper< TS >:
Collaboration diagram for BootstrapHelper< TS >:
Public Member Functions | |
| BootstrapHelper (Handle< Quote > quote) | |
| BootstrapHelper (Real quote) | |
| ~BootstrapHelper () override=default | |
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 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... | |
Observer interface | |
| void | update () override |
| 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 () | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| Observable (Observable &&)=delete | |
| Observable & | operator= (Observable &&)=delete |
| virtual | ~Observable ()=default |
| 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
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.
Definition at line 63 of file bootstraphelper.hpp.
Constructor & Destructor Documentation
◆ BootstrapHelper() [1/2]
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explicit |
◆ BootstrapHelper() [2/2]
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explicit |
Definition at line 157 of file bootstraphelper.hpp.
◆ ~BootstrapHelper()
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overridedefault |
Member Function Documentation
◆ quote()
Definition at line 70 of file bootstraphelper.hpp.
◆ impliedQuote()
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pure virtual |
Implemented in ArithmeticOISRateHelper, AssetSwapHelper, YoYOptionletHelper, IborIborBasisSwapRateHelper, OvernightIborBasisSwapRateHelper, ConstNotionalCrossCurrencyBasisSwapRateHelper, MtMCrossCurrencyBasisSwapRateHelper, SpreadCdsHelper, UpfrontCdsHelper, ZeroCouponInflationSwapHelper, YearOnYearInflationSwapHelper, BondHelper, OISRateHelper, DatedOISRateHelper, OvernightIndexFutureRateHelper, FuturesRateHelper, DepositRateHelper, FraRateHelper, SwapRateHelper, BMASwapRateHelper, and FxSwapRateHelper.
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◆ quoteError()
| Real quoteError | ( | ) | const |
◆ setTermStructure()
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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.
Definition at line 161 of file bootstraphelper.hpp.
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◆ earliestDate()
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virtual |
earliest relevant date
The earliest date at which data are needed by the helper in order to provide a quote.
Definition at line 167 of file bootstraphelper.hpp.
◆ maturityDate()
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virtual |
instrument's maturity date
Definition at line 172 of file bootstraphelper.hpp.
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◆ latestRelevantDate()
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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.
Definition at line 179 of file bootstraphelper.hpp.
◆ pillarDate()
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virtual |
pillar date
Definition at line 186 of file bootstraphelper.hpp.
◆ latestDate()
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virtual |
◆ update()
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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 RelativeDateBootstrapHelper< TS >, and CdsHelper.
Definition at line 200 of file bootstraphelper.hpp.
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◆ accept()
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virtual |
Reimplemented in ArithmeticOISRateHelper, IborIborBasisSwapRateHelper, OvernightIborBasisSwapRateHelper, ConstNotionalCrossCurrencyBasisSwapRateHelper, MtMCrossCurrencyBasisSwapRateHelper, BondHelper, FixedRateBondHelper, CPIBondHelper, OISRateHelper, DatedOISRateHelper, OvernightIndexFutureRateHelper, FuturesRateHelper, DepositRateHelper, FraRateHelper, SwapRateHelper, BMASwapRateHelper, and FxSwapRateHelper.
Definition at line 205 of file bootstraphelper.hpp.
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Member Data Documentation
◆ quote_
Definition at line 118 of file bootstraphelper.hpp.
◆ termStructure_
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protected |
Definition at line 119 of file bootstraphelper.hpp.
◆ earliestDate_
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protected |
Definition at line 120 of file bootstraphelper.hpp.
◆ latestDate_
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protected |
Definition at line 120 of file bootstraphelper.hpp.
◆ maturityDate_
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protected |
Definition at line 121 of file bootstraphelper.hpp.
◆ latestRelevantDate_
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protected |
Definition at line 121 of file bootstraphelper.hpp.
◆ pillarDate_
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protected |
Definition at line 121 of file bootstraphelper.hpp.