External module "ql/models/marketmodels/historicalforwardratesanalysis"

historicalForwardRatesAnalysis

• historicalForwardRatesAnalysis(traits: Traits, i: Interpolator, statistics: SequenceStatistics, skippedDates: Date[], skippedDatesErrorMessage: string[], failedDates: Date[], failedDatesErrorMessage: string[], fixingPeriods: Period[], startDate: Date, endDate: Date, step: Period, fwdIndex: InterestRateIndex, initialGap: Period, horizon: Period, iborIndexes: IborIndex[], swapIndexes: SwapIndex[], yieldCurveDayCounter: DayCounter, yieldCurveAccuracy?: Real): void

• Parameters

  • traits: Traits

  • i: Interpolator

  • statistics: SequenceStatistics

  • skippedDates: Date[]

  • skippedDatesErrorMessage: string[]

  • failedDates: Date[]

  • failedDatesErrorMessage: string[]

  • fixingPeriods: Period[]

  • startDate: Date

  • endDate: Date

  • step: Period

  • fwdIndex: InterestRateIndex

  • initialGap: Period

  • horizon: Period

  • iborIndexes: IborIndex[]

  • swapIndexes: SwapIndex[]

  • yieldCurveDayCounter: DayCounter

  • Default value yieldCurveAccuracy: Real = 1e-12

  Returns void