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 std::variant< Real, Handle< Quote > > &price, const Date &iborStartDate, Natural lengthInMonths, const Calendar &calendar, BusinessDayConvention convention, bool endOfMonth, const DayCounter &dayCounter, const std::variant< Real, Handle< Quote > > &convexityAdjustment=0.0, Futures::Type type=Futures::IMM)
	FuturesRateHelper (const std::variant< Real, Handle< Quote > > &price, const Date &iborStartDate, const Date &iborEndDate, const DayCounter &dayCounter, const std::variant< Real, Handle< Quote > > &convexityAdjustment=0.0, Futures::Type type=Futures::IMM)
	FuturesRateHelper (const std::variant< Real, Handle< Quote > > &price, const Date &iborStartDate, const ext::shared_ptr< IborIndex > &iborIndex, const std::variant< Real, Handle< Quote > > &convexityAdjustment=0.0, Futures::Type type=Futures::IMM)
RateHelper interface
Real	impliedQuote () const override
FuturesRateHelper inspectors
Real	convexityAdjustment () const
Public Member Functions inherited from BootstrapHelper< YieldTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual void	setTermStructure (YieldTermStructure *)
	sets the term structure to be used for pricing
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
void	update () override
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

Visitability
void	accept (AcyclicVisitor &) override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Handle< Quote >	quote_
YieldTermStructure *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Rate helper for bootstrapping over IborIndex futures prices.

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YieldTermStructure >.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from BootstrapHelper< YieldTermStructure >.