FuturesRateHelper Class Reference

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

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

Inheritance diagram for FuturesRateHelper:

List of all members.

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 &)

Detailed Description

Rate helper for bootstrapping over IborIndex futures prices.

Examples:
swapvaluation.cpp.