FuturesConvAdjustmentQuote Class Reference

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inheritance diagram for FuturesConvAdjustmentQuote:

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List of all members.

Detailed Description

quote for the futures-convexity adjustment of an index


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)
Real value () const
 returns the current value
void update ()
Inspectors
Real futuresValue () const
Real volatility () const
Real meanReversion () const
Date immDate () const

Protected Attributes

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


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.