org.jquantlib.termstructures.yieldcurves

Class FraRateHelper

java.lang.Object

org.jquantlib.termstructures.BootstrapHelper<YieldTermStructure>

org.jquantlib.termstructures.RateHelper

org.jquantlib.termstructures.yieldcurves.RelativeDateRateHelper

org.jquantlib.termstructures.yieldcurves.FraRateHelper

All Implemented Interfaces:

Observable, Observer, PolymorphicVisitable

public class FraRateHelper
extends RelativeDateRateHelper

Rate helper for bootstrapping over IborIndex futures prices

Constructor Summary

Constructors

Constructor and Description
FraRateHelper(double rate, int monthsToStart, IborIndex i)
FraRateHelper(double rate, int monthsToStart, int monthsToEnd, int fixingDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
FraRateHelper(double rate, Period periodToStart, IborIndex i)
FraRateHelper(double rate, Period periodToStart, int lengthInMonths, int fixingDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
FraRateHelper(Handle<Quote> rate, int monthsToStart, IborIndex i)
FraRateHelper(Handle<Quote> rate, int monthsToStart, int monthsToEnd, int fixingDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
FraRateHelper(Handle<Quote> rate, Period periodToStart, IborIndex i)
FraRateHelper(Handle<Quote> rate, Period periodToStart, int lengthInMonths, int fixingDays, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)

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)

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

FraRateHelper

public FraRateHelper(Handle<Quote> rate,
                     int monthsToStart,
                     int monthsToEnd,
                     int fixingDays,
                     Calendar calendar,
                     BusinessDayConvention convention,
                     boolean endOfMonth,
                     DayCounter dayCounter)

FraRateHelper

public FraRateHelper(double rate,
                     int monthsToStart,
                     int monthsToEnd,
                     int fixingDays,
                     Calendar calendar,
                     BusinessDayConvention convention,
                     boolean endOfMonth,
                     DayCounter dayCounter)

FraRateHelper

public FraRateHelper(Handle<Quote> rate,
                     int monthsToStart,
                     IborIndex i)

FraRateHelper

public FraRateHelper(double rate,
                     int monthsToStart,
                     IborIndex i)

FraRateHelper

public FraRateHelper(Handle<Quote> rate,
                     Period periodToStart,
                     int lengthInMonths,
                     int fixingDays,
                     Calendar calendar,
                     BusinessDayConvention convention,
                     boolean endOfMonth,
                     DayCounter dayCounter)

FraRateHelper

public FraRateHelper(double rate,
                     Period periodToStart,
                     int lengthInMonths,
                     int fixingDays,
                     Calendar calendar,
                     BusinessDayConvention convention,
                     boolean endOfMonth,
                     DayCounter dayCounter)

FraRateHelper

public FraRateHelper(Handle<Quote> rate,
                     Period periodToStart,
                     IborIndex i)

FraRateHelper

public FraRateHelper(double rate,
                     Period periodToStart,
                     IborIndex i)

Method Detail

impliedQuote

public double impliedQuote()

Specified by:

impliedQuote in class BootstrapHelper<YieldTermStructure>

setTermStructure

public void setTermStructure(YieldTermStructure t)

Overrides:

setTermStructure in class BootstrapHelper<YieldTermStructure>

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)