QuantLib_FuturesConvAdjustmentQuote man page

FuturesConvAdjustmentQuote — quote for the futures-convexity adjustment of an index  

Synopsis

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inherits Quote, and Observer.

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_

Additional Inherited Members

Detailed Description

quote for the futures-convexity adjustment of an index

Member 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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

dc_(3), FuturesConvAdjustmentQuote(3), futuresDate_(3), futuresQuote_(3), futuresValue(3), immDate(3), indexMaturityDate_(3), meanReversion(3) and meanReversion_(3) are aliases of QuantLib_FuturesConvAdjustmentQuote(3).

Fri Jun 2 2017 Version 1.10 QuantLib