DiscountingPerpetualFuturesEngine Class Reference

Discounting engine for perpetual futures. More...

#include <ql/pricingengines/futures/discountingperpetualfuturesengine.hpp>

Inheritance diagram for DiscountingPerpetualFuturesEngine:

Public Types
enum	InterpolationType { PiecewiseConstant , Linear , CubicSpline }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	DiscountingPerpetualFuturesEngine (const Handle< YieldTermStructure > &domesticDiscountCurve, const Handle< YieldTermStructure > &foreignDiscountCurve, const Handle< Quote > &assetSpot, const std::vector< Time > &fundingTimes, const std::vector< Rate > &fundingRates, const std::vector< Spread > &interestRateDiffs, InterpolationType fundingInterpType=PiecewiseConstant, Real maxT=60.)
void	calculate () const override
Handle< YieldTermStructure >	domesticDiscountCurve () const
Handle< YieldTermStructure >	foreignDiscountCurve () const
Handle< Quote >	assetSpot () const
const std::vector< Time > &	fundingTimes () const
const std::vector< Rate > &	fundingRates () const
const std::vector< Spread > &	interestRateDiffs () const
Public Member Functions inherited from GenericEngine< PerpetualFutures::arguments, PerpetualFutures::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	deepUpdate ()

Additional Inherited Members
Protected Attributes inherited from GenericEngine< PerpetualFutures::arguments, PerpetualFutures::results >
PerpetualFutures::arguments	arguments_
PerpetualFutures::results	results_

Detailed Description

Discounting engine for perpetual futures.

This engine discounts perpetual futures cashflows to the reference date.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.