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 QuantLib::ext::shared_ptr< IborIndex > &longIndex, bool longIndexGiven, Frequency shortFixedFrequency, BusinessDayConvention shortFixedConvention, const DayCounter &shortFixedDayCount, const QuantLib::ext::shared_ptr< IborIndex > &shortIndex, bool longMinusShort, bool shortIndexGiven, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), bool discountCurveGiven=false, const QuantLib::Pillar::Choice pillarChoice=QuantLib::Pillar::LastRelevantDate)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
BasisTwoSwapHelper inspectors
QuantLib::ext::shared_ptr< VanillaSwap >	longSwap () const
QuantLib::ext::shared_ptr< VanillaSwap >	shortSwap () const

Visitability
Period	swapTenor_
Calendar	calendar_
Frequency	longFixedFrequency_
BusinessDayConvention	longFixedConvention_
DayCounter	longFixedDayCount_
QuantLib::ext::shared_ptr< IborIndex >	longIndex_
bool	longIndexGiven_
Frequency	shortFixedFrequency_
BusinessDayConvention	shortFixedConvention_
DayCounter	shortFixedDayCount_
QuantLib::ext::shared_ptr< IborIndex >	shortIndex_
bool	longMinusShort_
bool	shortIndexGiven_
QuantLib::ext::shared_ptr< VanillaSwap >	longSwap_
QuantLib::ext::shared_ptr< VanillaSwap >	shortSwap_
RelinkableHandle< YieldTermStructure >	termStructureHandle_
Handle< YieldTermStructure >	discountHandle_
bool	discountCurveGiven_
QuantLib::Pillar::Choice	pillarChoice_
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