com.github.vonrosen.quantlib

Class SwapRateHelper

java.lang.Object

com.github.vonrosen.quantlib.RateHelper

com.github.vonrosen.quantlib.SwapRateHelper

public class SwapRateHelper
extends RateHelper

Field Summary

Fields inherited from class com.github.vonrosen.quantlib.RateHelper

swigCMemOwn

Constructor Summary

Constructors

Modifier	Constructor and Description
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays, Pillar.Choice pillar)
	SwapRateHelper(double rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays, Pillar.Choice pillar, Date customPillarDate)
	SwapRateHelper(double rate, SwapIndex index)
	SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread)
	SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart)
	SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve)
	SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar)
	SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar, Date customPillarDate)
protected	SwapRateHelper(long cPtr, boolean cMemoryOwn)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays, Pillar.Choice pillar)
	SwapRateHelper(QuoteHandle rate, Period tenor, Calendar calendar, Frequency fixedFrequency, BusinessDayConvention fixedConvention, DayCounter fixedDayCount, IborIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, long settlementDays, Pillar.Choice pillar, Date customPillarDate)
	SwapRateHelper(QuoteHandle rate, SwapIndex index)
	SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread)
	SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread, Period fwdStart)
	SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve)
	SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar)
	SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar, Date customPillarDate)

Method Summary

Modifier and Type	Method and Description
void	delete()
protected void	finalize()
protected static long	getCPtr(SwapRateHelper obj)
VanillaSwap	swap()

Methods inherited from class com.github.vonrosen.quantlib.RateHelper

__deref__, getCPtr, isNull, latestDate, quote

Methods inherited from class java.lang.Object

clone, equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

SwapRateHelper

protected SwapRateHelper(long cPtr,
                         boolean cMemoryOwn)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays,
                      Pillar.Choice pillar,
                      Date customPillarDate)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays,
                      Pillar.Choice pillar)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays,
                      Pillar.Choice pillar,
                      Date customPillarDate)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays,
                      Pillar.Choice pillar)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      long settlementDays)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread,
                      Period fwdStart)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index,
                      QuoteHandle spread)

SwapRateHelper

public SwapRateHelper(double rate,
                      Period tenor,
                      Calendar calendar,
                      Frequency fixedFrequency,
                      BusinessDayConvention fixedConvention,
                      DayCounter fixedDayCount,
                      IborIndex index)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      Pillar.Choice pillar,
                      Date customPillarDate)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      Pillar.Choice pillar)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index,
                      QuoteHandle spread)

SwapRateHelper

public SwapRateHelper(QuoteHandle rate,
                      SwapIndex index)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      Pillar.Choice pillar,
                      Date customPillarDate)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve,
                      Pillar.Choice pillar)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart,
                      YieldTermStructureHandle discountingCurve)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index,
                      QuoteHandle spread,
                      Period fwdStart)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index,
                      QuoteHandle spread)

SwapRateHelper

public SwapRateHelper(double rate,
                      SwapIndex index)

Method Detail

getCPtr

protected static long getCPtr(SwapRateHelper obj)

finalize

protected void finalize()

Overrides:

finalize in class RateHelper

delete

public void delete()

Overrides:

delete in class RateHelper

swap

public VanillaSwap swap()