FuturesRateHelper Class Reference
#include <ql/termstructures/yieldcurves/ratehelpers.hpp>
Inheritance diagram for FuturesRateHelper:

Detailed Description
Rate helper for bootstrapping over interest-rate futures prices.
- Todo:
- implement/refactor constructors with: Index instead of (nMonths, calendar, convention, dayCounter), IMM code
- Examples:
Public Member Functions | |
FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment) | |
FuturesRateHelper (const Handle< Quote > &price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0) | |
FuturesRateHelper (Real price, const Date &immDate, Size nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0) | |
Real | impliedQuote () const |
DiscountFactor | discountGuess () const |
Real | convexityAdjustment () const |