QuantLib_FuturesRateHelper man page

FuturesRateHelper — Rate helper for bootstrapping over IborIndex futures prices.

Synopsis

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

Inherits BootstrapHelper< TS >.

Public Member Functions

FuturesRateHelper (const Handle< Quote > &price, const Date &iborStartDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM)

FuturesRateHelper (Real price, const Date &iborStartDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM)

FuturesRateHelper (const Handle< Quote > &price, const Date &iborStartDate, const Date &iborEndDate, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM)

FuturesRateHelper (Real price, const Date &iborStartDate, const Date &endDate, const DayCounter &dayCounter, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM)

FuturesRateHelper (const Handle< Quote > &price, const Date &iborStartDate, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM)

FuturesRateHelper (Real price, const Date &iborStartDate, const boost::shared_ptr< IborIndex > &iborIndex, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM)

RateHelper interface

Real impliedQuote () const

FuturesRateHelper inspectors

Real convexityAdjustment () const

Visitability

void accept (AcyclicVisitor &)

Additional Inherited Members

Detailed Description

Rate helper for bootstrapping over IborIndex futures prices.

Examples: swapvaluation.cpp.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

FuturesRateHelper(3) is an alias of QuantLib_FuturesRateHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib