BondFutureUtils Struct Reference

Public Types
enum	BondFutureType { ShortTenorUS , LongTenorUS }

Static Public Member Functions
static std::pair< QuantLib::Date, QuantLib::Date >	deduceDates (const boost::shared_ptr< BondFutureReferenceDatum > &refData)
static std::pair< QuantLib::Date, QuantLib::Date >	deduceDates (const std::string &currency, const std::string &contractMonth, const std::string &rootDateStr, const std::string &expiryBasis, const std::string &settlementBasis, const std::string &expiryLag, const std::string &settlementLag)
static BondFutureType	getBondFutureType (const std::string &deliverableGrade)
static void	checkDates (const QuantLib::Date &expiry, const QuantLib::Date &settlementDate)
static double	conversionFactor (const BondFutureUtils::BondFutureType &type, const Date &futureExpiry, const double fixedRate, const Date bondMaturity)
static std::pair< std::string, double >	identifyCtdBond (const ext::shared_ptr< EngineFactory > &engineFactory, const std::string &futureContract, const bool pricing=true)
static void	modifyToForwardBond (const Date &expiry, QuantLib::ext::shared_ptr< QuantLib::Bond > &bond, const QuantLib::ext::shared_ptr< EngineFactory > &engineFactory, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::string &securityId)
	deprecated, strip a bond to cashflows after given expiry (throws for non-vanilla bonds)