QuantLib_FuturesRateHelper

Langue: en

Autres versions - même langue

Version: 376369 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::FuturesRateHelper -

Rate helper for bootstrapping over IborIndex futures prices.

SYNOPSIS


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

Inherits QuantLib::BootstrapHelper< YieldTermStructure >.

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:

swapvaluation.cpp.

Author

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