QuantLib_FuturesRateHelper (3) - Linux Manuals

QuantLib_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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