FuturesRateHelper Class Reference

#include <ql/TermStructures/ratehelpers.hpp>

Inheritance diagram for FuturesRateHelper:

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Detailed Description

Interest-rate futures.

Warning:
This class assumes that the reference date does not change between calls of setTermStructure().


Public Member Functions

 FuturesRateHelper (const RelinkableHandle< Quote > &price, const Date &ImmDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
 FuturesRateHelper (const RelinkableHandle< Quote > &price, const Date &ImmDate, const Date &MatDate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
 FuturesRateHelper (Real price, const Date &ImmDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter)
Real impliedQuote () const
DiscountFactor discountGuess () const
Date maturity () const
 maturity date


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