Rate helper for bootstrapping over IborIndex futures prices. More...
#include <ql/termstructures/yield/ratehelpers.hpp>
 Inheritance diagram for FuturesRateHelper:
 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 | maturityDate () const | 
| instrument's maturity date | |
| virtual Date | latestRelevantDate () const | 
| latest relevant date  More... | |
| virtual Date | pillarDate () const | 
| pillar date | |
| virtual Date | latestDate () const | 
| latest date  More... | |
| virtual void | update () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
| Additional Inherited Members | |
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| 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_ | 
Rate helper for bootstrapping over IborIndex futures prices.