CrossCcyFixFloatSwapHelper Class Reference

Cross currency fix vs. float swap helper. More...

#include <qle/termstructures/crossccyfixfloatswaphelper.hpp>

Inheritance diagram for CrossCcyFixFloatSwapHelper:

Public Member Functions
	CrossCcyFixFloatSwapHelper (const QuantLib::Handle< QuantLib::Quote > &rate, const QuantLib::Handle< QuantLib::Quote > &spotFx, QuantLib::Natural settlementDays, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &tenor, const QuantLib::Currency &fixedCurrency, QuantLib::Frequency fixedFrequency, QuantLib::BusinessDayConvention fixedConvention, const QuantLib::DayCounter &fixedDayCount, const boost::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &floatDiscount, const Handle< Quote > &spread=Handle< Quote >(), bool endOfMonth=false)
Observer interface
void	update () override
BootstrapHelper interface
QuantLib::Real	impliedQuote () const override
void	setTermStructure (QuantLib::YieldTermStructure *) override
Inspectors
boost::shared_ptr< CrossCcyFixFloatSwap >	swap () const
Visitability
void	accept (QuantLib::AcyclicVisitor &) override

Detailed Description

Cross currency fix vs. float swap helper.

Rate helper for bootstrapping with fixed vs. float cross currency swaps