FuturesRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for FuturesRateHelper:

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Detailed Description

Interest-rate futures.

Warning:
This class assumes that the reference date does not change between calls of setTermStructure().


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


Member Function Documentation

Date latestDate  )  const [virtual]
 

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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