futurepricehelper.hpp

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/*
 Copyright (C) 2020 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file qle/termstructures/futurepricehelper.hpp
    \brief Future price helper
    \ingroup termstructures
*/
 
#ifndef quantext_futurepricehelper_hpp
#define quantext_futurepricehelper_hpp
 
#include <qle/termstructures/pricetermstructure.hpp>
#include <ql/termstructures/bootstraphelper.hpp>
 
namespace QuantExt {
 
typedef QuantLib::BootstrapHelper<PriceTermStructure> PriceHelper;
 
//! Helper for bootstrapping over future prices
//! \ingroup termstructures
class FuturePriceHelper : public PriceHelper {
public:
    //! \name Constructors
    //@{
    FuturePriceHelper(const QuantLib::Handle<QuantLib::Quote>& price,
        const QuantLib::Date& expiryDate);
 
    FuturePriceHelper(QuantLib::Real price, const QuantLib::Date& expiryDate);
    //@}
 
    //! \name PriceHelper interface
    //@{
    QuantLib::Real impliedQuote() const override;
    //@}
 
    //! \name Visitability
    //@{
    void accept(QuantLib::AcyclicVisitor& v) override;
    //@}
};
 
}
 
#endif