C# Class QLNet.BMASwapRateHelper

Rate helper for bootstrapping over BMA swap rates
Inheritance: QLNet.RelativeDateRateHelper
Show file Open project: ammachado/QLNet

Protected Properties

Property Type Description
bmaConvention_ BusinessDayConvention
bmaDayCount_ DayCounter
bmaIndex_ BMAIndex
bmaPeriod_ Period
calendar_ QLNet.Calendar
iborIndex_ IborIndex
settlementDays_ int
swap_ QLNet.BMASwap
tenor_ Period
termStructureHandle_ RelinkableHandle

Public Methods

Method Description
BMASwapRateHelper ( Handle liborFraction, Period tenor, int settlementDays, QLNet.Calendar calendar, Period bmaPeriod, BusinessDayConvention bmaConvention, DayCounter bmaDayCount, BMAIndex bmaIndex, IborIndex iborIndex ) : System
impliedQuote ( ) : double
setTermStructure ( QLNet.YieldTermStructure t ) : void

Protected Methods

Method Description
initializeDates ( ) : void

Method Details

BMASwapRateHelper() public method

public BMASwapRateHelper ( Handle liborFraction, Period tenor, int settlementDays, QLNet.Calendar calendar, Period bmaPeriod, BusinessDayConvention bmaConvention, DayCounter bmaDayCount, BMAIndex bmaIndex, IborIndex iborIndex ) : System
liborFraction Handle
tenor Period
settlementDays int
calendar QLNet.Calendar
bmaPeriod Period
bmaConvention BusinessDayConvention
bmaDayCount DayCounter
bmaIndex BMAIndex
iborIndex IborIndex
return System

impliedQuote() public method

public impliedQuote ( ) : double
return double

initializeDates() protected method

protected initializeDates ( ) : void
return void

setTermStructure() public method

public setTermStructure ( QLNet.YieldTermStructure t ) : void
t QLNet.YieldTermStructure
return void

Property Details

bmaConvention_ protected property

protected BusinessDayConvention bmaConvention_
return BusinessDayConvention

bmaDayCount_ protected property

protected DayCounter bmaDayCount_
return DayCounter

bmaIndex_ protected property

protected BMAIndex,QLNet bmaIndex_
return BMAIndex

bmaPeriod_ protected property

protected Period,QLNet bmaPeriod_
return Period

calendar_ protected property

protected Calendar,QLNet calendar_
return QLNet.Calendar

iborIndex_ protected property

protected IborIndex,QLNet iborIndex_
return IborIndex

settlementDays_ protected property

protected int settlementDays_
return int

swap_ protected property

protected BMASwap,QLNet swap_
return QLNet.BMASwap

tenor_ protected property

protected Period,QLNet tenor_
return Period

termStructureHandle_ protected property

protected RelinkableHandle termStructureHandle_
return RelinkableHandle