FuturesRateHelper Class Reference#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for FuturesRateHelper:
[legend]List of all members.
Detailed Description
Interest-rate futures.
- Warning:
- This class assumes that the reference date does not change between calls of setTermStructure().
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Public Member Functions |
| FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter) |
| FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, const Date &matDate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter) |
| FuturesRateHelper (Real price, const Date &immDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter) |
Real | impliedQuote () const |
DiscountFactor | discountGuess () const |
Date | latestDate () const |
| latest relevant date
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Member Function Documentation
Date latestDate |
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const [virtual] |
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latest relevant date
The latest date at which discounts are needed by the helper in order to provide a quote. It does not necessarily equal the maturity of the underlying instrument.
Implements RateHelper. |
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