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QuantLib_FuturesConvAdjustmentQuote

NAME

QuantLib::FuturesConvAdjustmentQuote -

quote for the futures-convexity adjustment of an index

SYNOPSIS

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inherits QuantLib::Quote, and QuantLib::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

bool isValid () const

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 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

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