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  • Committer: Bazaar Package Importer
  • Author(s): Dirk Eddelbuettel
  • Date: 2009-12-03 21:23:12 UTC
  • mfrom: (1.2.11 upstream) (3.1.5 sid)
  • Revision ID: james.westby@ubuntu.com-20091203212312-b5xqdch18rgr5vc5
Tags: 0.9.9-1
* New upstream release
* As before, re-packaged upstream file QuantLib-docs-0.9.9.html.tar.gz 
  as described in the copyright file included with the Debian package.

* debian/control: Updated Standards-Version: to current version 

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html/class_quant_lib_1_1_bootstrap_helper.html
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</div>
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<div id="menu">
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<h3 class="navbartitle">Version 0.9.7</h3>
 
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<h3 class="navbartitle">Version 0.9.9</h3>
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<hr>
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<h3 class="navbartitle">Getting started</h3>
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<ul class="navbarlist">
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<li class="navlink"><a href="index.html">Introduction</a></li>
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<li class="navlink"><a href="overview.html">Project overview</a></li>
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<li class="navlink"><a href="where.html">Where to get QuantLib</a></li>
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<li class="navlink"><a href="install.html">Installation</a></li>
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<li class="navlink"><a href="config.html">Configuration</a></li>
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<div class="dynsection">
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<p><center><img src="class_quant_lib_1_1_bootstrap_helper__inherit__graph.png" border="0" usemap="#_bootstrap_helper__inherit__map" alt="Inheritance graph"></center>
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<map name="_bootstrap_helper__inherit__map">
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<area shape="rect" href="class_quant_lib_1_1_cds_helper.html" title="Default&#45;probability bootstrap helper based on quoted CDS spreads." alt="" coords="315,6,664,32"><area shape="rect" href="class_quant_lib_1_1_fixed_rate_bond_helper.html" title="fixed&#45;coupon bond helper" alt="" coords="319,56,660,83"><area shape="rect" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over IborIndex futures prices." alt="" coords="328,107,651,134"><area shape="rect" href="class_quant_lib_1_1_relative_date_rate_helper.html" title="Rate helper with date schedule relative to the global evaluation date." alt="" coords="312,158,667,184"><area shape="rect" href="class_quant_lib_1_1_yyiis_inflation_helper.html" title="Year&#45;on&#45;year inflation&#45;swap bootstrap helper." alt="" coords="305,208,673,235"><area shape="rect" href="class_quant_lib_1_1_zciis_inflation_helper.html" title="Zero&#45;coupon inflation&#45;swap bootstrap helper." alt="" coords="305,259,673,286"><area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="12,107,87,134"><area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observables." alt="" coords="5,158,93,184"></map>
 
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<area shape="rect" href="class_quant_lib_1_1_bond_helper.html" title="fixed&#45;coupon bond helper" alt="" coords="391,5,673,35"><area shape="rect" href="class_quant_lib_1_1_dated_o_i_s_rate_helper.html" title="Rate helper for bootstrapping over Overnight Indexed Swap rates." alt="" coords="364,59,700,88"><area shape="rect" href="class_quant_lib_1_1_futures_rate_helper.html" title="Rate helper for bootstrapping over IborIndex futures prices." alt="" coords="371,112,693,141"><area shape="rect" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html" title="Bootstrap helper with date schedule relative to global evaluation date." alt="" coords="419,165,645,195"><area shape="rect" href="class_quant_lib_1_1_year_on_year_inflation_swap_helper.html" title="Year&#45;on&#45;year inflation&#45;swap bootstrap helper." alt="" coords="312,219,752,248"><area shape="rect" href="class_quant_lib_1_1_yo_y_optionlet_helper.html" title="Year&#45;on&#45;year inflation&#45;volatility bootstrap helper." alt="" coords="339,272,725,301"><area shape="rect" href="class_quant_lib_1_1_zero_coupon_inflation_swap_helper.html" title="Zero&#45;coupon inflation&#45;swap bootstrap helper." alt="" coords="311,325,753,355"><area shape="rect" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html" title="RelativeDateBootstrapHelper\&lt; QuantLib::DefaultProbabilityTermStructure \&gt;" alt="" coords="304,379,760,408"><area shape="rect" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html" title="RelativeDateBootstrapHelper\&lt; QuantLib::YieldTermStructure \&gt;" alt="" coords="340,432,724,461"><area shape="rect" href="class_quant_lib_1_1_observer.html" title="Object that gets notified when a given observable changes." alt="" coords="12,192,87,221"><area shape="rect" href="class_quant_lib_1_1_observable.html" title="Object that notifies its changes to a set of observers." alt="" coords="5,245,93,275"></map>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<p>
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&nbsp;</td><td class="memItemRight" valign="bottom"><b>BootstrapHelper</b> (Real quote)</td></tr>
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<tr><td colspan="2"><div class="groupHeader">BootstrapHelper interface</div></td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c5a35226b59767c5acae1382d10f72de"></a><!-- doxytag: member="QuantLib::BootstrapHelper::quote" ref="c5a35226b59767c5acae1382d10f72de" args="() const " -->
 
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const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>&lt; <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> &gt; &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>quote</b> () const </td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="084bbc018cd8351e5acbe2f64d153efa"></a><!-- doxytag: member="QuantLib::BootstrapHelper::impliedQuote" ref="084bbc018cd8351e5acbe2f64d153efa" args="() const =0" -->
 
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virtual Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>impliedQuote</b> () const =0</td></tr>
 
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cc00c84d3345895f7c21eb647d1a165d"></a><!-- doxytag: member="QuantLib::BootstrapHelper::quoteError" ref="cc00c84d3345895f7c21eb647d1a165d" args="() const " -->
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Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>quoteError</b> () const </td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="510a1386e650a94312eba5068463a16e"></a><!-- doxytag: member="QuantLib::BootstrapHelper::quoteValue" ref="510a1386e650a94312eba5068463a16e" args="() const " -->
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Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>quoteValue</b> () const </td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="621528cb58b5d16b1527b6d29db3f65c"></a><!-- doxytag: member="QuantLib::BootstrapHelper::quoteIsValid" ref="621528cb58b5d16b1527b6d29db3f65c" args="() const " -->
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bool&nbsp;</td><td class="memItemRight" valign="bottom"><b>quoteIsValid</b> () const </td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="084bbc018cd8351e5acbe2f64d153efa"></a><!-- doxytag: member="QuantLib::BootstrapHelper::impliedQuote" ref="084bbc018cd8351e5acbe2f64d153efa" args="() const =0" -->
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virtual Real&nbsp;</td><td class="memItemRight" valign="bottom"><b>impliedQuote</b> () const =0</td></tr>
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<tr><td class="memItemLeft" nowrap align="right" valign="top">virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_bootstrap_helper.html#c8bb5ca2d4e7d7754be9f69e43a054ce">setTermStructure</a> (TS *)</td></tr>
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<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">sets the term structure to be used for pricing  <a href="#c8bb5ca2d4e7d7754be9f69e43a054ce"></a><br></td></tr>
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Base helper class for bootstrapping. 
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<p>
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This class provides an abstraction for the instruments used to bootstrap a term structure.<p>
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It is advised that a bootstrap helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available rate helpers. <hr><h2>Member Function Documentation</h2>
 
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It is advised that a bootstrap helper for an instrument contains an instance of the actual instrument class to ensure consistancy between the algorithms used during bootstrapping and later instrument pricing. This is not yet fully enforced in the available bootstrap helpers. <hr><h2>Member Function Documentation</h2>
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<a class="anchor" name="c8bb5ca2d4e7d7754be9f69e43a054ce"></a><!-- doxytag: member="QuantLib::BootstrapHelper::setTermStructure" ref="c8bb5ca2d4e7d7754be9f69e43a054ce" args="(TS *)" -->
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<div class="memitem">
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<div class="memproto">
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<p>
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sets the term structure to be used for pricing 
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<p>
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<dl compact><dt><b><a class="el" href="caveats.html#_caveats000096">Warning:</a></b></dt><dd>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 this method is called only inside the term structure being bootstrapped, setting the pointer to <b>this</b>, i.e., the term structure itself. </dd></dl>
 
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<dl compact><dt><b><a class="el" href="caveats.html#_caveats000094">Warning:</a></b></dt><dd>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 this method is called only inside the term structure being bootstrapped, setting the pointer to <b>this</b>, i.e., the term structure itself. </dd></dl>
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</div>
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</div><p>
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This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes. 
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<p>Implements <a class="el" href="class_quant_lib_1_1_observer.html#99b02345a8a15d3c5ea2844a2253f510">Observer</a>.</p>
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<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_relative_date_rate_helper.html#c5c54df7ed3b930268c8d7752c101725">RelativeDateRateHelper</a>.</p>
 
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<p>Reimplemented in <a class="el" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html#c5c54df7ed3b930268c8d7752c101725">RelativeDateBootstrapHelper</a>, <a class="el" href="class_quant_lib_1_1_cds_helper.html#c5c54df7ed3b930268c8d7752c101725">CdsHelper</a>, <a class="el" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html#c5c54df7ed3b930268c8d7752c101725">RelativeDateBootstrapHelper&lt; QuantLib::YieldTermStructure &gt;</a>, and <a class="el" href="class_quant_lib_1_1_relative_date_bootstrap_helper.html#c5c54df7ed3b930268c8d7752c101725">RelativeDateBootstrapHelper&lt; QuantLib::DefaultProbabilityTermStructure &gt;</a>.</p>
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</div>
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</div><p>