QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces | Typedefs
ratehelpers.hpp File Reference

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
 

Detailed Description

deposit, FRA, futures, and various swap rate helpers

Definition in file ratehelpers.hpp.