C# Class QLNet.BMASwapRateHelper

Rate helper for bootstrapping over BMA swap rates
Inheritance: QLNet.RelativeDateRateHelper
Afficher le fichier Open project: ammachado/QLNet

Protected Properties

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

Méthodes publiques

Méthode 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

Méthodes protégées

Méthode Description
initializeDates ( ) : void

Method Details

BMASwapRateHelper() public méthode

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
Résultat System

impliedQuote() public méthode

public impliedQuote ( ) : double
Résultat double

initializeDates() protected méthode

protected initializeDates ( ) : void
Résultat void

setTermStructure() public méthode

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

Property Details

bmaConvention_ protected_oe property

protected BusinessDayConvention bmaConvention_
Résultat BusinessDayConvention

bmaDayCount_ protected_oe property

protected DayCounter bmaDayCount_
Résultat DayCounter

bmaIndex_ protected_oe property

protected BMAIndex,QLNet bmaIndex_
Résultat BMAIndex

bmaPeriod_ protected_oe property

protected Period,QLNet bmaPeriod_
Résultat Period

calendar_ protected_oe property

protected Calendar,QLNet calendar_
Résultat QLNet.Calendar

iborIndex_ protected_oe property

protected IborIndex,QLNet iborIndex_
Résultat IborIndex

settlementDays_ protected_oe property

protected int settlementDays_
Résultat int

swap_ protected_oe property

protected BMASwap,QLNet swap_
Résultat QLNet.BMASwap

tenor_ protected_oe property

protected Period,QLNet tenor_
Résultat Period

termStructureHandle_ protected_oe property

protected RelinkableHandle termStructureHandle_
Résultat RelinkableHandle