QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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deposit, FRA, futures, and various swap rate helpers More...
#include <ql/termstructures/bootstraphelper.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/instruments/bmaswap.hpp>
#include <ql/instruments/futures.hpp>
#include <ql/time/calendar.hpp>
#include <ql/time/daycounter.hpp>
#include <ql/optional.hpp>
Go to the source code of this file.
Classes | |
class | FuturesRateHelper |
Rate helper for bootstrapping over IborIndex futures prices. More... | |
class | DepositRateHelper |
Rate helper for bootstrapping over deposit rates. More... | |
class | FraRateHelper |
Rate helper for bootstrapping over FRA rates. More... | |
class | SwapRateHelper |
Rate helper for bootstrapping over swap rates. More... | |
class | BMASwapRateHelper |
Rate helper for bootstrapping over BMA swap rates. More... | |
class | FxSwapRateHelper |
Rate helper for bootstrapping over Fx Swap rates. More... | |
Namespaces | |
namespace | QuantLib |
Typedefs | |
typedef BootstrapHelper< YieldTermStructure > | RateHelper |
typedef RelativeDateBootstrapHelper< YieldTermStructure > | RelativeDateRateHelper |
deposit, FRA, futures, and various swap rate helpers
Definition in file ratehelpers.hpp.