quote for the futures-convexity adjustment of an index More...
#include <ql/quotes/futuresconvadjustmentquote.hpp>
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 |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 | |
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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.