org.jquantlib.termstructures.yieldcurves

Class BMASwapRateHelper

java.lang.Object

org.jquantlib.termstructures.BootstrapHelper<YieldTermStructure>

org.jquantlib.termstructures.RateHelper

org.jquantlib.termstructures.yieldcurves.RelativeDateRateHelper

org.jquantlib.termstructures.yieldcurves.BMASwapRateHelper

All Implemented Interfaces:

Observable, Observer, PolymorphicVisitable

public class BMASwapRateHelper
extends RelativeDateRateHelper

Rate helper for bootstrapping over BMA swap rates

Constructor Summary

Constructors

Constructor and Description
BMASwapRateHelper(Handle<Quote> liborFraction, Period tenor, int settlementDays, Calendar calendar, Period bmaPeriod, BusinessDayConvention bmaConvention, DayCounter bmaDayCount, BMAIndex bmaIndex, IborIndex iborIndex)

Method Summary

Modifier and Type	Method and Description
void	accept(PolymorphicVisitor pv) This method is intended to extend the semantics of method Visitable.accept(Visitor)
double	impliedQuote()
void	setTermStructure(YieldTermStructure t) Do not set the relinkable handle as an observer.

Methods inherited from class org.jquantlib.termstructures.yieldcurves.RelativeDateRateHelper

update

Methods inherited from class org.jquantlib.termstructures.BootstrapHelper

addObserver, countObservers, deleteObserver, deleteObservers, earliestDate, getObservers, latestDate, notifyObservers, notifyObservers, quoteError, quoteIsValid

Methods inherited from class java.lang.Object

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

Constructor Detail

BMASwapRateHelper

public BMASwapRateHelper(Handle<Quote> liborFraction,
                         Period tenor,
                         int settlementDays,
                         Calendar calendar,
                         Period bmaPeriod,
                         BusinessDayConvention bmaConvention,
                         DayCounter bmaDayCount,
                         BMAIndex bmaIndex,
                         IborIndex iborIndex)

Method Detail

setTermStructure

public void setTermStructure(YieldTermStructure t)

Do not set the relinkable handle as an observer. Force recalculation when needed

Overrides:

setTermStructure in class BootstrapHelper<YieldTermStructure>

Parameters:

t -

See Also:

BootstrapHelper.setTermStructure(TS)

impliedQuote

public double impliedQuote()

Specified by:

impliedQuote in class BootstrapHelper<YieldTermStructure>

See Also:

org.jquantlib.termstructures.BootstrapHelper#getImpliedQuote()

accept

public void accept(PolymorphicVisitor pv)

Description copied from interface: PolymorphicVisitable

This method is intended to extend the semantics of method Visitable.accept(Visitor)

In a conventional Visitor design pattern, the accept method is called when access to visit a data structure is requested. A Visitor object is passed as argument in case permission is granted to that Visitor to access the data structure. Obviously, Visitors and Visitables work in pairs and the class which provides the data structure to be visited also implements Visitable in order to properly grant access when the expected Visitor is received.

In the case of a PolymorphicVisitable, a PolymorphicVisitor is passed instead of a Visitor. A PolymorphicVisitor is in fact, a composition of Visitors and not only a single Visitor. A PolymorphicVisitor is responsible for returning the correct Visitor responsible for processing a certain data structure.

The initial design of pairs made of <Visitor,Visitable> is extended to a concept of a matrix made of multiple Visitors against multiple Visitables. Every class which implements PolymorphicVisitable passes different data structures when querying PolymorphicVisitors.

Specified by:

accept in interface PolymorphicVisitable

Overrides:

accept in class BootstrapHelper<YieldTermStructure>

See Also:

PolymorphicVisitor#getVisitor(Class)