FuturesRateHelper Class Reference
Rate helper for bootstrapping over IborIndex futures prices. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
Inheritance diagram for FuturesRateHelper:

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: