FuturesRateHelper Class Reference

Rate helper for bootstrapping over IborIndex futures prices. More...

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

Inheritance diagram for FuturesRateHelper:

Public Member Functions

 FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >())
 
 FuturesRateHelper (Real price, const Date &immDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)
 
 FuturesRateHelper (const Handle< Quote > &price, const Date &immStartDate, const Date &endDate, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >())
 
 FuturesRateHelper (Real price, const Date &immStartDate, const Date &endDate, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)
 
 FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &convexityAdjustment=Handle< Quote >())
 
 FuturesRateHelper (Real price, const Date &immDate, const boost::shared_ptr< IborIndex > &iborIndex, Rate convexityAdjustment=0.0)
 
RateHelper interface
Real impliedQuote () const
 
FuturesRateHelper inspectors
Real convexityAdjustment () const
 
Visitability
void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from BootstrapHelper< TS >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual void setTermStructure (TS *)
 sets the term structure to be used for pricing
 
virtual Date earliestDate () const
 earliest relevant date
 
virtual Date latestDate () const
 latest relevant date
 
virtual void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Protected Attributes inherited from BootstrapHelper< TS >
Handle< Quotequote_
 
TS * termStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

Rate helper for bootstrapping over IborIndex futures prices.

Examples:
swapvaluation.cpp.