FuturesRateHelper Class Reference

Rate helper for bootstrapping over IborIndex futures prices. More...

#include <ratehelpers.hpp>

Inheritance diagram for FuturesRateHelper:

Collaboration 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< TS >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
	~BootstrapHelper () override=default
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	maturityDate () const
	instrument's maturity date More...
virtual Date	latestRelevantDate () const
	latest relevant date More...
virtual Date	pillarDate () const
	pillar date More...
virtual Date	latestDate () const
	latest date More...
void	update () override
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()

Visitability
Time	yearFraction_
Handle< Quote >	convAdj_
void	accept (AcyclicVisitor &) override

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

Detailed Description

Rate helper for bootstrapping over IborIndex futures prices.

Definition at line 51 of file ratehelpers.hpp.

Constructor & Destructor Documentation

FuturesRateHelper() [1/3]

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
	)

Definition at line 69 of file ratehelpers.cpp.

Here is the call graph for this function:

FuturesRateHelper() [2/3]

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
	)

Definition at line 90 of file ratehelpers.cpp.

Here is the call graph for this function:

FuturesRateHelper() [3/3]

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
	)

Definition at line 138 of file ratehelpers.cpp.

Here is the call graph for this function:

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< TS >.

Definition at line 156 of file ratehelpers.cpp.

Here is the call graph for this function:

convexityAdjustment()

Real convexityAdjustment

(

)

const

Definition at line 167 of file ratehelpers.cpp.

Here is the caller graph for this function:

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from BootstrapHelper< TS >.

Definition at line 171 of file ratehelpers.cpp.

Here is the call graph for this function:

Member Data Documentation

yearFraction_

Time yearFraction_

private

Definition at line 86 of file ratehelpers.hpp.

convAdj_

Handle<Quote> convAdj_

private

Definition at line 87 of file ratehelpers.hpp.