FuturesConvAdjustmentQuote Class Reference

quote for the futures-convexity adjustment of an index More...

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inheritance diagram for FuturesConvAdjustmentQuote:

List of all members.

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< QuotefuturesQuote_
Handle< Quotevolatility_
Handle< QuotemeanReversion_

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.