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 boost::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion) | |
| FuturesConvAdjustmentQuote (const boost::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion) | |
| void | update () |
Quote interface | |
| Real | value () const |
| returns the current value | |
| bool | isValid () const |
| returns true if the Quote holds a valid value | |
Inspectors | |
| Real | futuresValue () const |
| Real | volatility () const |
| Real | meanReversion () const |
| Date | immDate () const |
Protected Attributes | |
| DayCounter | dc_ |
| const Date | futuresDate_ |
| const Date | indexMaturityDate_ |
| Handle< Quote > | futuresQuote_ |
| Handle< Quote > | volatility_ |
| Handle< Quote > | meanReversion_ |
Detailed Description
quote for the futures-convexity adjustment of an indexMember Function Documentation
| void update | ( | ) | [virtual] |
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.