Rate helper for bootstrapping using Sub Periods Swaps. More...

#include <qle/termstructures/subperiodsswaphelper.hpp>

Inheritance diagram for SubPeriodsSwapHelper:

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 QuantLib::ext::shared_ptr< IborIndex > &iborIndex, const DayCounter &floatDayCount, const Handle< YieldTermStructure > &discountingCurve=Handle< YieldTermStructure >(), QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, QuantLib::Pillar::Choice pillarChoice=QuantLib::Pillar::LastRelevantDate)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
SubPeriodsSwapHelper inspectors
QuantLib::ext::shared_ptr< SubPeriodsSwap >	swap () const

Visitability
void	accept (AcyclicVisitor &) override
void	initializeDates () override

Detailed Description

Rate helper for bootstrapping using Sub Periods Swaps.

Public Member Functions