QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
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 More...
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date latestDate () const
 latest relevant date More...
 
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.