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
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Protected Attributes

DayCounter dc_
 
const Date futuresDate_
 
const Date indexMaturityDate_
 
Handle< QuotefuturesQuote_
 
Handle< Quotevolatility_
 
Handle< QuotemeanReversion_
 

Detailed Description

quote for the futures-convexity adjustment of an index