LogQuote Class Reference

Class for storing logs of quotes for log-linear interpolation. More...

#include <qle/quotes/logquote.hpp>

Inheritance diagram for LogQuote:

Collaboration diagram for LogQuote:

Public Member Functions
	LogQuote (Handle< Quote > q)
Inspectors
Real	quote () const
Quote interface
Real	value () const override
bool	isValid () const override

Observer interface
Handle< Quote >	q_
Real	logValue_
void	update () override

Detailed Description

Class for storing logs of quotes for log-linear interpolation.

Tests:

the correctness of the returned values is tested by checking them against the log of the returned values of q_

Definition at line 38 of file logquote.hpp.

Constructor & Destructor Documentation

LogQuote()

LogQuote

(

Handle< Quote >

q

)

Definition at line 40 of file logquote.hpp.

                              : q_(q) {
        registerWith(q);
        update();
    }

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Member Function Documentation

quote()

Real quote

(

)

const

Definition at line 28 of file logquote.cpp.

{ return q_->value(); }

value()

Real value ( ) const

override

Definition at line 30 of file logquote.cpp.

{ return logValue_; }

isValid()

bool isValid ( ) const

override

Definition at line 32 of file logquote.cpp.

{ return q_->isValid(); }

update()

void update ( )

override

Definition at line 34 of file logquote.cpp.

                      {
    Real v = q_->value();
    QL_REQUIRE(v > 0.0, "Invalid quote, cannot take log of non-positive number");
    logValue_ = std::log(v);
}

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Member Data Documentation

q_

Handle<Quote> q_

protected

Definition at line 58 of file logquote.hpp.

logValue_

Real logValue_

protected

Definition at line 59 of file logquote.hpp.