FuturesRateHelper Class Reference

#include <ql/termstructures/yieldcurves/ratehelpers.hpp>

Inheritance diagram for FuturesRateHelper:

Inheritance graph
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List of all members.

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:

swapvaluation.cpp.


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