Rate helper for bootstrapping using Sub Periods Swaps. More...
#include <qle/termstructures/subperiodsswaphelper.hpp>
Public Member Functions | |
SubPeriodsSwapHelper (Handle< Quote > spread, const Period &swapTenor, const Period &fixedTenor, const Calendar &fixedCalendar, const DayCounter &fixedDayCount, BusinessDayConvention fixedConvention, const Period &floatPayTenor, const boost::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatDayCount, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding) | |
RateHelper interface | |
Real | impliedQuote () const override |
void | setTermStructure (YieldTermStructure *) override |
SubPeriodsSwapHelper inspectors | |
boost::shared_ptr< SubPeriodsSwap > | swap () const |
Visitability | |
void | accept (AcyclicVisitor &) override |
void | initializeDates () override |
Rate helper for bootstrapping using Sub Periods Swaps.