BMASwapRateHelper Class Reference

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

#include <ratehelpers.hpp>

Inheritance diagram for BMASwapRateHelper:

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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 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
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_
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 354 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 698 of file ratehelpers.cpp.

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Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 779 of file ratehelpers.cpp.

setTermStructure()

void setTermStructure ( YieldTermStructure *  t )

override

Definition at line 768 of file ratehelpers.cpp.

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accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 786 of file ratehelpers.cpp.

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initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< TS >.

Definition at line 718 of file ratehelpers.cpp.

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Member Data Documentation

tenor_

Period tenor_

protected

Definition at line 378 of file ratehelpers.hpp.

settlementDays_

Natural settlementDays_

protected

Definition at line 379 of file ratehelpers.hpp.

calendar_

Calendar calendar_

protected

Definition at line 380 of file ratehelpers.hpp.

bmaPeriod_

Period bmaPeriod_

protected

Definition at line 381 of file ratehelpers.hpp.

bmaConvention_

BusinessDayConvention bmaConvention_

protected

Definition at line 382 of file ratehelpers.hpp.

bmaDayCount_

DayCounter bmaDayCount_

protected

Definition at line 383 of file ratehelpers.hpp.

bmaIndex_

ext::shared_ptr<BMAIndex> bmaIndex_

protected

Definition at line 384 of file ratehelpers.hpp.

iborIndex_

ext::shared_ptr<IborIndex> iborIndex_

protected

Definition at line 385 of file ratehelpers.hpp.

swap_

ext::shared_ptr<BMASwap> swap_

protected

Definition at line 387 of file ratehelpers.hpp.

termStructureHandle_

RelinkableHandle<YieldTermStructure> termStructureHandle_

protected

Definition at line 388 of file ratehelpers.hpp.