FuturesRateHelper (3) Linux Manual Page
QuantLib::FuturesRateHelper – Rate helper for bootstrapping over IborIndex futures prices.
Synopsis
#include <ql/termstructures/yield/ratehelpers.hpp>Inherits BootstrapHelper< YieldTermStructure >.
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 &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.