QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
FxSwapRateHelper Class Reference

Rate helper for bootstrapping over Fx Swap rates. More...

#include <ql/termstructures/yield/ratehelpers.hpp>

+ Inheritance diagram for FxSwapRateHelper:

Public Member Functions

 FxSwapRateHelper (const Handle< Quote > &fwdPoint, const Handle< Quote > &spotFx, const Period &tenor, Natural fixingDays, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, bool isFxBaseCurrencyCollateralCurrency, const Handle< YieldTermStructure > &collateralCurve)
 
RateHelper interface
Real impliedQuote () const
 
void setTermStructure (YieldTermStructure *)
 
FxSwapRateHelper inspectors
Real spot () const
 
Period tenor () const
 
Natural fixingDays () const
 
Calendar calendar () const
 
BusinessDayConvention businessDayConvention () const
 
bool endOfMonth () const
 
bool isFxBaseCurrencyCollateralCurrency () const
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from RelativeDateBootstrapHelper< TS >
 RelativeDateBootstrapHelper (const Handle< Quote > &quote)
 
 RelativeDateBootstrapHelper (Real quote)
 
void update ()
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
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
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from RelativeDateBootstrapHelper< TS >
Date evaluationDate_
 
- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Detailed Description

Rate helper for bootstrapping over Fx Swap rates.

fwdFx = spotFx + fwdPoint isFxBaseCurrencyCollateralCurrency indicates if the base currency of the fx currency pair is the one used as collateral