org.jquantlib.termstructures.yieldcurves

Class FuturesRateHelper

java.lang.Object

org.jquantlib.termstructures.BootstrapHelper<YieldTermStructure>

org.jquantlib.termstructures.RateHelper

org.jquantlib.termstructures.yieldcurves.FuturesRateHelper

All Implemented Interfaces:

Observable, Observer, PolymorphicVisitable

public class FuturesRateHelper
extends RateHelper

FuturesRateHelper

Constructor Summary

Constructors

Constructor and Description
FuturesRateHelper(double price, Date immDate, IborIndex i)
FuturesRateHelper(double price, Date immDate, IborIndex i, double convAdj)
FuturesRateHelper(double price, Date immDate, int lengthInMonths, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
FuturesRateHelper(double price, Date immDate, int lengthInMonths, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter, double convAdj)
FuturesRateHelper(Handle<Quote> price, Date immDate, IborIndex i)
FuturesRateHelper(Handle<Quote> price, Date immDate, IborIndex i, Handle<Quote> convAdj)
FuturesRateHelper(Handle<Quote> price, Date immDate, int lengthInMonths, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter)
FuturesRateHelper(Handle<Quote> price, Date immDate, int lengthInMonths, Calendar calendar, BusinessDayConvention convention, boolean endOfMonth, DayCounter dayCounter, Handle<Quote> convAdj)

Method Summary

Modifier and Type	Method and Description
double	getConvexityAdjustment()
double	impliedQuote() /* Implements the abstract method defined in Returns the futures value of the instrument

Methods inherited from class org.jquantlib.termstructures.BootstrapHelper

accept, addObserver, countObservers, deleteObserver, deleteObservers, earliestDate, getObservers, latestDate, notifyObservers, notifyObservers, quoteError, quoteIsValid, setTermStructure, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

FuturesRateHelper

public FuturesRateHelper(Handle<Quote> price,
                         Date immDate,
                         int lengthInMonths,
                         Calendar calendar,
                         BusinessDayConvention convention,
                         boolean endOfMonth,
                         DayCounter dayCounter)

Parameters:

Handle - price

Date - immDate

int - lengthInMonths

Calendar - calendar

BusinessDayConvention - convention

boolean - endOfMonth

DayCounter - dayCounter

FuturesRateHelper

public FuturesRateHelper(Handle<Quote> price,
                         Date immDate,
                         int lengthInMonths,
                         Calendar calendar,
                         BusinessDayConvention convention,
                         boolean endOfMonth,
                         DayCounter dayCounter,
                         Handle<Quote> convAdj)

Parameters:

Handle - price

Date - immDate

int - lengthInMonths

Calendar - calendar

BusinessDayConvention - convention

boolean - endOfMonth

DayCounter - dayCounter

Handle - convAdj

FuturesRateHelper

public FuturesRateHelper(double price,
                         Date immDate,
                         int lengthInMonths,
                         Calendar calendar,
                         BusinessDayConvention convention,
                         boolean endOfMonth,
                         DayCounter dayCounter)

Parameters:

Handle - price

Date - immDate

int - lengthInMonths

Calendar - calendar

BusinessDayConvention - convention

boolean - endOfMonth

DayCounter - dayCounter

FuturesRateHelper

public FuturesRateHelper(double price,
                         Date immDate,
                         int lengthInMonths,
                         Calendar calendar,
                         BusinessDayConvention convention,
                         boolean endOfMonth,
                         DayCounter dayCounter,
                         double convAdj)

Parameters:

double - price

Date - immDate

int - lengthInMonths

Calendar - calendar

BusinessDayConvention - convention

boolean - endOfMonth

DayCounter - dayCounter

double - convAdj

FuturesRateHelper

public FuturesRateHelper(Handle<Quote> price,
                         Date immDate,
                         IborIndex i)

Parameters:

Handle - price

Date - immDate

IborIndex - index

FuturesRateHelper

public FuturesRateHelper(Handle<Quote> price,
                         Date immDate,
                         IborIndex i,
                         Handle<Quote> convAdj)

Parameters:

Handle - price

Date - immDate

IborIndex - index

Handle - convAdj

FuturesRateHelper

public FuturesRateHelper(double price,
                         Date immDate,
                         IborIndex i)

Parameters:

double - price

Date - immDate

IborIndex - index

FuturesRateHelper

public FuturesRateHelper(double price,
                         Date immDate,
                         IborIndex i,
                         double convAdj)

Parameters:

double - price

Date - immDate

IborIndex - index

double - convAdj

Method Detail

impliedQuote

public double impliedQuote()

/* Implements the abstract method defined in Returns the futures value of the instrument

Specified by:

impliedQuote in class BootstrapHelper<YieldTermStructure>

Returns:

double

getConvexityAdjustment

public double getConvexityAdjustment()

Returns:

double value of the adjusted convexity