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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a></div>
<h1>FuturesRateHelper Class Reference</h1><!-- doxytag: class="QuantLib::FuturesRateHelper" --><!-- doxytag: inherits="QuantLib::RateHelper" --><code>#include <ql/TermStructures/ratehelpers.hpp></code>
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Inheritance diagram for FuturesRateHelper:<p><center><img src="class_quant_lib_1_1_futures_rate_helper__inherit__graph.png" border="0" usemap="#_futures_rate_helper__inherit__map" alt="Inheritance graph"></center>
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<area href="class_quant_lib_1_1_rate_helper.html" shape="rect" coords="56,82,152,106" alt="">
<area href="class_quant_lib_1_1_observer.html" shape="rect" coords="5,7,88,31" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_futures_rate_helper-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Rate helper for bootstrapping over interest-rate futures prices.
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<dl compact><dt><b><a class="el" href="todo.html#_todo000059">Todo:</a></b></dt><dd>implement/refactor constructors with: <a class="el" href="class_quant_lib_1_1_index.html">Index</a> instead of (nMonths, calendar, convention, dayCounter), <a class="el" href="struct_quant_lib_1_1_i_m_m.html">IMM</a> code </dd></dl>
<dl compact><dt><b>Examples: </b></dt><dd>
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<a class="el" href="swapvaluation_8cpp-example.html#_a17">swapvaluation.cpp</a>.</dl>
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4838ef08eff490ecff3c6cb032b33309"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="4838ef08eff490ecff3c6cb032b33309" args="(const Handle< Quote > &price, const Date &immDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< Quote > &convexityAdjustment)" -->
</td><td class="memItemRight" valign="bottom"><b>FuturesRateHelper</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &price, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &immDate, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> nMonths, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &convexityAdjustment)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="609b2bc07de3af2b04b7d370a6b4b99a"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="609b2bc07de3af2b04b7d370a6b4b99a" args="(const Handle< Quote > &price, const Date &immDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)" -->
</td><td class="memItemRight" valign="bottom"><b>FuturesRateHelper</b> (const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_quote.html">Quote</a> > &price, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &immDate, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> nMonths, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> convexityAdjustment=0.0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b6319aed2920a62f2ab5a2d6675e23be"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="b6319aed2920a62f2ab5a2d6675e23be" args="(Real price, const Date &immDate, Integer nMonths, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, Rate convexityAdjustment=0.0)" -->
</td><td class="memItemRight" valign="bottom"><b>FuturesRateHelper</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> price, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &immDate, <a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> nMonths, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> convexityAdjustment=0.0)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="528f192004b60d122f4eacc673a80a8b"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::impliedQuote" ref="528f192004b60d122f4eacc673a80a8b" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>impliedQuote</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="359da33dd4c06b101917e44c83a47892"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::discountGuess" ref="359da33dd4c06b101917e44c83a47892" args="() const" -->
<a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> </td><td class="memItemRight" valign="bottom"><b>discountGuess</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cbfd2dbb610c4fa6b47b6c143633bdff"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::convexityAdjustment" ref="cbfd2dbb610c4fa6b47b6c143633bdff" args="() const" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>convexityAdjustment</b> () const</td></tr>
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