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 QuantLib::ext::shared_ptr< QuantLib::IborIndex > &index, const QuantLib::Handle< QuantLib::YieldTermStructure > &floatDiscount, const Handle< Quote > &spread=Handle< Quote >(), bool endOfMonth=false, const bool telescopicValueDates_=false, const QuantLib::Pillar::Choice pillarChoice=QuantLib::Pillar::LastRelevantDate, QuantLib::ext::optional< bool > includeSpread=QuantLib::ext::nullopt, QuantLib::ext::optional< Period > lookback=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > fixingDays=QuantLib::ext::nullopt, QuantLib::ext::optional< Size > rateCutoff=QuantLib::ext::nullopt, QuantLib::ext::optional< bool > isAveraged=QuantLib::ext::nullopt)
Observer interface
void	update () override
BootstrapHelper interface
QuantLib::Real	impliedQuote () const override
void	setTermStructure (QuantLib::YieldTermStructure *) override
Inspectors
QuantLib::ext::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

Public Member Functions