QuantLib: FuturesConvAdjustmentQuote Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | 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:
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## Public Member Functions
| FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const Date &futuresDate, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion)
| FuturesConvAdjustmentQuote (const ext::shared_ptr< IborIndex > &index, const std::string &immCode, const Handle< Quote > &futuresQuote, const Handle< Quote > &volatility, const Handle< Quote > &meanReversion)
Quote interface
Real | value () const
| returns the current value
bool | isValid () const
| returns true if the Quote holds a valid value
void | update ()
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &)
void | registerWithObservables (const ext::shared_ptr< Observer > &)
Size | unregisterWith (const ext::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()

## Inspectors
DayCounter | dc_
const Date | futuresDate_
const Date | indexMaturityDate_
Handle< Quote > | futuresQuote_
Handle< Quote > | volatility_
Handle< Quote > | meanReversion_
Real | futuresValue () const
Real | volatility () const
Real | meanReversion () const
Date | immDate () const

## Additional Inherited Members
Public Types inherited from Observer
typedef boost::unordered_set< ext::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.