TenorBasisSwapHelper Class Reference

Rate helper for bootstrapping using Libor tenor basis swaps. More...

#include <qle/termstructures/tenorbasisswaphelper.hpp>

Inheritance diagram for TenorBasisSwapHelper:

Public Member Functions
	TenorBasisSwapHelper (Handle< Quote > spread, const Period &swapTenor, const boost::shared_ptr< IborIndex > longIndex, const boost::shared_ptr< IborIndex > shortIndex, const Period &shortPayTenor=Period(), const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool spreadOnShort=true, bool includeSpread=false, QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
TenorBasisSwapHelper inspectors
boost::shared_ptr< TenorBasisSwap >	swap () const

Visitability
Period	swapTenor_
boost::shared_ptr< IborIndex >	longIndex_
boost::shared_ptr< IborIndex >	shortIndex_
Period	shortPayTenor_
bool	spreadOnShort_
bool	includeSpread_
QuantExt::SubPeriodsCoupon1::Type	type_
boost::shared_ptr< TenorBasisSwap >	swap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
RelinkableHandle< YieldTermStructure >	discountRelinkableHandle_
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping using Libor tenor basis swaps.