FuturesConvAdjustmentQuote Class Reference

quote for the futures-convexity adjustment of an index More...

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inheritance diagram for FuturesConvAdjustmentQuote:

Public Member Functions
	FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const Date &futuresDate, Handle< Quote > futuresQuote, Handle< Quote > volatility, Handle< Quote > meanReversion)
	FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const std::string &immCode, Handle< Quote > futuresQuote, Handle< Quote > volatility, Handle< Quote > meanReversion)
Quote interface
Real	value () const override
	returns the current value
bool	isValid () const override
	returns true if the Quote holds a valid value
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 ()

Inspectors
DayCounter	dc_
const Date	futuresDate_
const Date	indexMaturityDate_
Handle< Quote >	futuresQuote_
Handle< Quote >	volatility_
Handle< Quote >	meanReversion_
Real	rate_ = Null<Real>()
Real	futuresValue () const
Real	volatility () const
Real	meanReversion () const
Date	immDate () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Detailed Description

quote for the futures-convexity adjustment of an index

Member Function Documentation

value()

Real value ( ) const

overridevirtual

returns the current value

Implements Quote.

isValid()

bool isValid ( ) const

overridevirtual

returns true if the Quote holds a valid value

Implements Quote.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.