FuturesRateHelper (3) - Linux Manuals
FuturesRateHelper: Rate helper for bootstrapping over IborIndex futures prices.
NAME
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.
Author
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