FuturesRateHelper Class Reference#include <ql/TermStructures/ratehelpers.hpp>
Inheritance diagram for FuturesRateHelper:
[legend]List of all members.
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, int nMonths, const Calendar &calendar, RollingConvention convention, const DayCounter &dayCounter) |
| FuturesRateHelper (const RelinkableHandle< Quote > &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
|
|