FuturesRateHelper Class Reference

#include <ql/termstructures/yield/ratehelpers.hpp>

Inheritance diagram for FuturesRateHelper:

List of all members.


Detailed Description

Rate helper for bootstrapping over interest-rate futures prices.

Possible enhancements:
implement/refactor constructors with: Index instead of (nMonths, calendar, convention, dayCounter), IMM code
Examples:

swapvaluation.cpp.


Public Member Functions

 FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment)
 FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)
 FuturesRateHelper (Real price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)
RateHelper interface
Real impliedQuote () const
FuturesRateHelper inspectors
Real convexityAdjustment () const