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 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Protected Attributes | |
| DayCounter | dc_ |
| const Date | futuresDate_ |
| const Date | indexMaturityDate_ |
| Handle< Quote > | futuresQuote_ |
| Handle< Quote > | volatility_ |
| Handle< Quote > | meanReversion_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
quote for the futures-convexity adjustment of an index
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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.