BMASwapRateHelper Class Reference

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

Inheritance diagram for BMASwapRateHelper:

List of all members.


Detailed Description

Rate helper for bootstrapping over BMA swap rates.

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 *)

Protected Member Functions

void initializeDates ()

Protected Attributes

Period tenor_
Natural settlementDays_
Calendar calendar_
Period bmaPeriod_
BusinessDayConvention bmaConvention_
DayCounter bmaDayCount_
boost::shared_ptr< BMAIndexbmaIndex_
boost::shared_ptr< IborIndexindex_
boost::shared_ptr< BMASwapswap_
RelinkableHandle
< YieldTermStructure
termStructureHandle_