- QuantLib
- BMASwapRateHelper
Rate helper for bootstrapping over BMA swap rates. More...
#include <ql/termstructures/yield/ratehelpers.hpp>

Public Member Functions | |
| BMASwapRateHelper (const Handle< Quote > &liborFraction, const Period &tenor, Natural settlementDays, const Calendar &calendar, const Period &bmaPeriod, BusinessDayConvention bmaConvention, const DayCounter &bmaDayCount, const boost::shared_ptr< BMAIndex > &bmaIndex, const boost::shared_ptr< IborIndex > &index) | |
RateHelper interface | |
| Real | impliedQuote () const |
| void | setTermStructure (YieldTermStructure *) |
Visitability | |
| void | accept (AcyclicVisitor &) |
Protected Member Functions | |
| void | initializeDates () |
Protected Attributes | |
| Period | tenor_ |
| Natural | settlementDays_ |
| Calendar | calendar_ |
| Period | bmaPeriod_ |
| BusinessDayConvention | bmaConvention_ |
| DayCounter | bmaDayCount_ |
| boost::shared_ptr< BMAIndex > | bmaIndex_ |
| boost::shared_ptr< IborIndex > | iborIndex_ |
| boost::shared_ptr< BMASwap > | swap_ |
|
RelinkableHandle < YieldTermStructure > | termStructureHandle_ |
Rate helper for bootstrapping over BMA swap rates.