FuturesRateHelper Class Reference

#include <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< MarketElement > &price, const Date &ImmDate, int nMonths, const Calendar &calendar, RollingConvention convention, const DayCounter &dayCounter)
 FuturesRateHelper (const RelinkableHandle< MarketElement > &price, const Date &ImmDate, const Date &MatDate, const Calendar &calendar, RollingConvention convention, const DayCounter &dayCounter)
 FuturesRateHelper (double price, const Date &ImmDate, int nMonths, const Calendar &calendar, RollingConvention convention, const DayCounter &dayCounter)
double impliedQuote () const
DiscountFactor discountGuess () const
Date maturity () const
 maturity date


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
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