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 QuantLib::ext::shared_ptr< IborIndex > &payIndex, const QuantLib::ext::shared_ptr< IborIndex > &receiveIndex, const Handle< YieldTermStructure > &discountingCurve, const bool payIndexGiven, const bool receiveIndexGiven, const bool discountingGiven, const bool spreadOnRec=true, const bool includeSpread=false, const Period &payFrequency=Period(), const Period &recFrequency=Period(), const bool telescopicValueDates=false, const QuantExt::SubPeriodsCoupon1::Type type=QuantExt::SubPeriodsCoupon1::Compounding, QuantLib::Pillar::Choice pillarChoice=QuantLib::Pillar::Choice::LastRelevantDate)
RateHelper interface
Real	impliedQuote () const override
void	setTermStructure (YieldTermStructure *) override
TenorBasisSwapHelper inspectors
QuantLib::ext::shared_ptr< TenorBasisSwap >	swap () const

Visitability
Period	swapTenor_
QuantLib::ext::shared_ptr< IborIndex >	payIndex_
QuantLib::ext::shared_ptr< IborIndex >	receiveIndex_
bool	payIndexGiven_
bool	receiveIndexGiven_
bool	discountingGiven_
bool	spreadOnRec_
bool	includeSpread_
Period	payFrequency_
Period	recFrequency_
bool	telescopicValueDates_
QuantExt::SubPeriodsCoupon1::Type	type_
QuantLib::Pillar::Choice	pillarChoice_
bool	automaticDiscountRelinkableHandle_
QuantLib::ext::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.