BMASwapRateHelper Class Reference

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

#include <ratehelpers.hpp>

Inheritance diagram for BMASwapRateHelper:

Collaboration diagram for BMASwapRateHelper:

Public Member Functions
	BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, Calendar calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, DayCounter bmaDayCount, ext::shared_ptr< BMAIndex > bmaIndex, ext::shared_ptr< IborIndex > index)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &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 ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Visitability
Period	tenor_
Natural	settlementDays_
Calendar	calendar_
Period	bmaPeriod_
BusinessDayConvention	bmaConvention_
DayCounter	bmaDayCount_
ext::shared_ptr< BMAIndex >	bmaIndex_
ext::shared_ptr< IborIndex >	iborIndex_
ext::shared_ptr< BMASwap >	swap_
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_
bool	updateDates_
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 BMA swap rates.

Definition at line 286 of file ratehelpers.hpp.

Constructor & Destructor Documentation

BMASwapRateHelper()

BMASwapRateHelper	(	const Handle< Quote > &	liborFraction,
		const Period &	tenor,
		Natural	settlementDays,
		Calendar	calendar,
		const Period &	bmaPeriod,
		BusinessDayConvention	bmaConvention,
		DayCounter	bmaDayCount,
		ext::shared_ptr< BMAIndex >	bmaIndex,
		ext::shared_ptr< IborIndex >	index
	)

Definition at line 636 of file ratehelpers.cpp.

Here is the call graph for this function:

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 717 of file ratehelpers.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 706 of file ratehelpers.cpp.

Here is the call graph for this function:

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 724 of file ratehelpers.cpp.

Here is the call graph for this function:

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 656 of file ratehelpers.cpp.

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

tenor_

Period tenor_

protected

Definition at line 310 of file ratehelpers.hpp.

settlementDays_

Natural settlementDays_

protected

Definition at line 311 of file ratehelpers.hpp.

calendar_

Calendar calendar_

protected

Definition at line 312 of file ratehelpers.hpp.

bmaPeriod_

Period bmaPeriod_

protected

Definition at line 313 of file ratehelpers.hpp.

bmaConvention_

BusinessDayConvention bmaConvention_

protected

Definition at line 314 of file ratehelpers.hpp.

bmaDayCount_

DayCounter bmaDayCount_

protected

Definition at line 315 of file ratehelpers.hpp.

bmaIndex_

ext::shared_ptr<BMAIndex> bmaIndex_

protected

Definition at line 316 of file ratehelpers.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 317 of file ratehelpers.hpp.

swap_

ext::shared_ptr<BMASwap> swap_

protected

Definition at line 319 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 320 of file ratehelpers.hpp.