FuturePriceHelper Class Reference

#include <qle/termstructures/futurepricehelper.hpp>

Inheritance diagram for FuturePriceHelper:

Collaboration diagram for FuturePriceHelper:

Public Member Functions
Constructors
	FuturePriceHelper (const QuantLib::Handle< QuantLib::Quote > &price, const QuantLib::Date &expiryDate)
	FuturePriceHelper (QuantLib::Real price, const QuantLib::Date &expiryDate)
PriceHelper interface
QuantLib::Real	impliedQuote () const override
Visitability
void	accept (QuantLib::AcyclicVisitor &v) override

Detailed Description

Helper for bootstrapping over future prices

Definition at line 36 of file futurepricehelper.hpp.

Constructor & Destructor Documentation

FuturePriceHelper() [1/2]

FuturePriceHelper	(	const QuantLib::Handle< QuantLib::Quote > &	price,
		const QuantLib::Date &	expiryDate
	)

FuturePriceHelper() [2/2]

FuturePriceHelper	(	QuantLib::Real	price,
		const QuantLib::Date &	expiryDate
	)

Member Function Documentation

impliedQuote()

Real impliedQuote ( ) const

override

Definition at line 42 of file futurepricehelper.cpp.

                                           {
    QL_REQUIRE(termStructure_, "FuturePriceHelper term structure not set.");
    return termStructure_->price(pillarDate_);
}

accept()

void accept ( QuantLib::AcyclicVisitor &  v )

override

Definition at line 47 of file futurepricehelper.cpp.

                                                {
    if (auto vis = dynamic_cast<Visitor<FuturePriceHelper>*>(&v))
        vis->visit(*this);
    else
        PriceHelper::accept(v);
}