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 &iborStartDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM) | |
| FuturesRateHelper (Real price, const Date &iborStartDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM) | |
| FuturesRateHelper (const Handle< Quote > &price, const Date &iborStartDate, const Date &iborEndDate, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM) | |
| FuturesRateHelper (Real price, const Date &iborStartDate, const Date &endDate, const DayCounter &dayCounter, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM) | |
| FuturesRateHelper (const Handle< Quote > &price, const Date &iborStartDate, const boost::shared_ptr< IborIndex > &iborIndex, const Handle< Quote > &convexityAdjustment=Handle< Quote >(), Futures::Type type=Futures::IMM) | |
| FuturesRateHelper (Real price, const Date &iborStartDate, const boost::shared_ptr< IborIndex > &iborIndex, Rate convexityAdjustment=0.0, Futures::Type type=Futures::IMM) | |
RateHelper interface | |
| Real | impliedQuote () const |
FuturesRateHelper inspectors | |
| Real | convexityAdjustment () const |
Visitability | |
| void | accept (AcyclicVisitor &) |
Public Member Functions inherited from BootstrapHelper< TS > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| const Handle< Quote > & | quote () const |
| Real | quoteError () const |
| virtual void | setTermStructure (TS *) |
| sets the term structure to be used for pricing More... | |
| virtual Date | earliestDate () const |
| earliest relevant date More... | |
| virtual Date | latestDate () const |
| latest relevant date More... | |
| virtual void | update () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Additional Inherited Members | |
Protected Attributes inherited from BootstrapHelper< TS > | |
| Handle< Quote > | quote_ |
| TS * | termStructure_ |
| Date | earliestDate_ |
| Date | latestDate_ |
Rate helper for bootstrapping over IborIndex futures prices.