public SwapRateHelper(double rate,
SwapIndex swapIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
settlementDays_ = swapIndex.fixingDays();
tenor_ = swapIndex.tenor();
pillarChoice_ = pillarChoice;
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
// take fixing into account
iborIndex_ = swapIndex.iborIndex().clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}