PriceTraits Struct Reference

Traits class that is needed for Bootstrap classes to work. More...

#include <qle/termstructures/piecewisepricecurve.hpp>

Public Types
typedef QuantLib::BootstrapHelper< PriceTermStructure >	helper
	Helper type.

Static Public Member Functions
static QuantLib::Date	initialDate (const PriceTermStructure *ts)
	Start date of the term structure.
static QuantLib::Real	initialValue (const PriceTermStructure *ts)
	Dummy value at reference date. Updated below along with first guess.
template<class C >
static QuantLib::Real	guess (QuantLib::Size i, const C *c, bool validData, QuantLib::Size j)
	Guesses.
template<class C >
static QuantLib::Real	minValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size j)
	Minimum value after a given iteration.
template<class C >
static QuantLib::Real	maxValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size j)
	Maximum value after a given iteration.
static void	updateGuess (std::vector< QuantLib::Real > &data, QuantLib::Real price, QuantLib::Size i)
	Root finding update.
static QuantLib::Size	maxIterations ()
	Maximum number of iterations to perform in search for root.

Detailed Description

Traits class that is needed for Bootstrap classes to work.