C# Class QLNet.FRARateHelper

Rate helper for bootstrapping over FRA rates

Inheritance: QLNet.RelativeDateRateHelper

Datei anzeigen Open project: ammachado/QLNet Class Usage Examples

Public Methods

Method	Description
FRARateHelper ( Handle rate, int monthsToStart, IborIndex i ) : System
FRARateHelper ( Handle rate, int monthsToStart, int monthsToEnd, int fixingDays, QLNet.Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter ) : System
FRARateHelper ( double rate, int monthsToStart, IborIndex i ) : System
FRARateHelper ( double rate, int monthsToStart, int monthsToEnd, int fixingDays, QLNet.Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter ) : System
impliedQuote ( ) : double
setTermStructure ( QLNet.YieldTermStructure t ) : void

Protected Methods

Method	Description
initializeDates ( ) : void

Method Details

FRARateHelper() public method

public FRARateHelper ( Handle rate, int monthsToStart, IborIndex i ) : System
rate	Handle
monthsToStart	int
i	IborIndex
return	System

FRARateHelper() public method

public FRARateHelper ( Handle rate, int monthsToStart, int monthsToEnd, int fixingDays, QLNet.Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter ) : System
rate	Handle
monthsToStart	int
monthsToEnd	int
fixingDays	int
calendar	QLNet.Calendar
convention	BusinessDayConvention
endOfMonth	bool
dayCounter	DayCounter
return	System

FRARateHelper() public method

public FRARateHelper ( double rate, int monthsToStart, IborIndex i ) : System
rate	double
monthsToStart	int
i	IborIndex
return	System

FRARateHelper() public method

public FRARateHelper ( double rate, int monthsToStart, int monthsToEnd, int fixingDays, QLNet.Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter ) : System
rate	double
monthsToStart	int
monthsToEnd	int
fixingDays	int
calendar	QLNet.Calendar
convention	BusinessDayConvention
endOfMonth	bool
dayCounter	DayCounter
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