QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Attributes | List of all members
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 Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Protected Attributes

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

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

quote for the futures-convexity adjustment of an index

Member Function Documentation

◆ update()

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.