QuantLib 0.3.12

http://quantlib.org

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Getting started

• Introduction
• Project overview
• Where to get QuantLib
• Installation
• Configuration
• Usage
• Frequently asked questions
• Version history
• Additional resources
• The QuantLib group
• Copyright and license

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Reference manual

• Modules
• Class Hierarchy
• Compound List
• File List
• Compound Members
• File Members
• Todo List
• Known Bugs
• Caveats
• Test Suite
• Deprecated Features
• Examples

FixedCouponBondHelper Class Reference

#include <ql/TermStructures/bondhelpers.hpp>

Inheritance diagram for FixedCouponBondHelper:

[legend]List of all members.

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Detailed Description

fixed-coupon bond helper

Warning:

This class assumes that the reference date does not change between calls of setTermStructure().

Public Member Functions
	FixedCouponBondHelper (const Handle< Quote > &cleanPrice, const Date &issueDate, const Date &datedDate, const Date &maturityDate, Integer settlementDays, const std::vector< Rate > &coupons, Frequency frequency, const DayCounter &dayCounter, const Calendar &calendar, BusinessDayConvention convention=Following, Real redemption=100.0, const Date &stub=Date(), bool fromEnd=true)
	FixedCouponBondHelper (const Handle< Quote > &cleanPrice, const Date &issueDate, const Date &datedDate, const Date &maturityDate, Integer settlementDays, const std::vector< Rate > &coupons, Frequency frequency, const Calendar &calendar, const DayCounter &dayCounter, BusinessDayConvention accrualConvention=Following, BusinessDayConvention paymentConvention=Following, Real redemption=100.0, const Date &stub=Date(), bool fromEnd=true)
Real	impliedQuote () const
Date	latestDate () const
	latest relevant date
void	setTermStructure (YieldTermStructure *)
	sets the term structure to be used for pricing
Protected Attributes
Date	issueDate_
Date	datedDate_
Date	maturityDate_
Integer	settlementDays_
std::vector< Rate >	coupons_
Frequency	frequency_
DayCounter	dayCounter_
Calendar	calendar_
BusinessDayConvention	accrualConvention_
BusinessDayConvention	paymentConvention_
Real	redemption_
Date	stub_
bool	fromEnd_
Date	settlement_
Date	latestDate_
boost::shared_ptr< FixedCouponBond >	bond_
Handle< YieldTermStructure >	termStructureHandle_

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Constructor & Destructor Documentation

FixedCouponBondHelper (  const Handle< Quote > &  cleanPrice, const Date &  issueDate, const Date &  datedDate, const Date &  maturityDate, Integer  settlementDays, const std::vector< Rate > &  coupons, Frequency  frequency, const DayCounter &  dayCounter, const Calendar &  calendar, BusinessDayConvention  convention = Following, Real  redemption = 100.0, const Date &  stub = Date(), bool  fromEnd = true )

Deprecated: use the other constructor

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Member Function Documentation

Date latestDate (   )  const [virtual]

latest relevant date The latest date at which discounts are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument. Implements RateHelper.

void setTermStructure (  YieldTermStructure *   )  [virtual]

sets the term structure to be used for pricing Warning: Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that rate helpers be used only in term structure constructors, setting the term structure to this, i.e., the one being constructed. Reimplemented from RateHelper.

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