immDate (3) - Linux Manuals

immDate: quote for the futures-convexity adjustment of an index

NAME

QuantLib::FuturesConvAdjustmentQuote - quote for the futures-convexity adjustment of an index

SYNOPSIS

#include <ql/quotes/futuresconvadjustmentquote.hpp>

Inherits QuantLib::Quote, and QuantLib::Observer.

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< Quote > futuresQuote_

Handle< Quote > volatility_

Handle< Quote > meanReversion_

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.