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<title>QuantLib: FuturesRateHelper Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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::BootstrapHelper" --><code>#include <ql/termstructures/yield/ratehelpers.hpp></code>
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Inheritance diagram for FuturesRateHelper:</div>
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<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#_todo000053">Possible enhancements:</a></b></dt><dd>implement/refactor constructors with: <a class="el" href="class_quant_lib_1_1_index.html" title="purely virtual base class for indexes">Index</a> instead of (nMonths, calendar, convention, dayCounter), <a class="el" href="struct_quant_lib_1_1_i_m_m.html" title="Main cycle of the International Money Market (a.k.a. IMM) months.">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#_a16">swapvaluation.cpp</a>.</dl><table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<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="b98da13c3cec4989a6e6b34ef633f28f"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="b98da13c3cec4989a6e6b34ef633f28f" args="(const Handle< Quote > &price, const Date &immDate, Size 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#gf38bdb4c54463b1f456655efa95b5c77">Size</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="6c4744e9506b762b8db01dcf0a68c5eb"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="6c4744e9506b762b8db01dcf0a68c5eb" args="(const Handle< Quote > &price, const Date &immDate, Size 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#gf38bdb4c54463b1f456655efa95b5c77">Size</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="197bf5ed94af58430e58d5b399e1a706"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::FuturesRateHelper" ref="197bf5ed94af58430e58d5b399e1a706" args="(Real price, const Date &immDate, Size 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#gf38bdb4c54463b1f456655efa95b5c77">Size</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 colspan="2"><div class="groupHeader">RateHelper interface</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9c69887bf51d43666aa7d5edfe124c0a"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::impliedQuote" ref="9c69887bf51d43666aa7d5edfe124c0a" 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 colspan="2"><div class="groupHeader">FuturesRateHelper inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fcf6adb1180a55c010c9e3ec3ce691bb"></a><!-- doxytag: member="QuantLib::FuturesRateHelper::convexityAdjustment" ref="fcf6adb1180a55c010c9e3ec3ce691bb" 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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