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 Handle< Quote > &rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
	DepositRateHelper (Rate rate, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter)
	DepositRateHelper (const Handle< Quote > &rate, const ext::shared_ptr< IborIndex > &iborIndex)
	DepositRateHelper (Rate rate, 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 Handle< Quote > &quote)
	RelativeDateBootstrapHelper (Real quote)
void	update () override
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (Handle< Quote > quote)
	BootstrapHelper (Real 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 ()
	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_
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 112 of file ratehelpers.hpp.

Constructor & Destructor Documentation

DepositRateHelper() [1/4]

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

Definition at line 207 of file ratehelpers.cpp.

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DepositRateHelper() [2/4]

DepositRateHelper	(	Rate	rate,
		const Period &	tenor,
		Natural	fixingDays,
		const Calendar &	calendar,
		BusinessDayConvention	convention,
		bool	endOfMonth,
		const DayCounter &	dayCounter
	)

Definition at line 222 of file ratehelpers.cpp.

DepositRateHelper() [3/4]

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

Definition at line 232 of file ratehelpers.cpp.

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DepositRateHelper() [4/4]

DepositRateHelper	(	Rate	rate,
		const ext::shared_ptr< IborIndex > &	iborIndex
	)

Definition at line 239 of file ratehelpers.cpp.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 243 of file ratehelpers.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 250 of file ratehelpers.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 272 of file ratehelpers.cpp.

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initializeDates()

void initializeDates ( )

overrideprivatevirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 261 of file ratehelpers.cpp.

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Member Data Documentation

fixingDate_

Date fixingDate_

private

Definition at line 143 of file ratehelpers.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

private

Definition at line 144 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

private

Definition at line 145 of file ratehelpers.hpp.