BasisTwoSwapHelper Class Reference

Basis Two Swap Helper. More...

#include <qle/termstructures/basistwoswaphelper.hpp>

Inheritance diagram for BasisTwoSwapHelper:

Public Member Functions
	BasisTwoSwapHelper (const Handle< Quote > &spread, const Period &swapTenor, const Calendar &calendar, Frequency longFixedFrequency, BusinessDayConvention longFixedConvention, const DayCounter &longFixedDayCount, const boost::shared_ptr< IborIndex > &longIndex, Frequency shortFixedFrequency, BusinessDayConvention shortFixedConvention, const DayCounter &shortFixedDayCount, const boost::shared_ptr< IborIndex > &shortIndex, bool longMinusShort=true, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >())
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
BasisTwoSwapHelper inspectors
boost::shared_ptr< VanillaSwap >	longSwap () const
boost::shared_ptr< VanillaSwap >	shortSwap () const

Visitability
Period	swapTenor_
Calendar	calendar_
Frequency	longFixedFrequency_
BusinessDayConvention	longFixedConvention_
DayCounter	longFixedDayCount_
boost::shared_ptr< IborIndex >	longIndex_
Frequency	shortFixedFrequency_
BusinessDayConvention	shortFixedConvention_
DayCounter	shortFixedDayCount_
boost::shared_ptr< IborIndex >	shortIndex_
bool	longMinusShort_
boost::shared_ptr< VanillaSwap >	longSwap_
boost::shared_ptr< VanillaSwap >	shortSwap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Basis Two Swap Helper.

Rate helper for bootstrapping using Libor tenor basis as the difference between the fixed rate on two swaps

\ingroup termstructures